Sökning: "Black-Scholes-Merton model"

Visar resultat 1 - 5 av 12 uppsatser innehållade orden Black-Scholes-Merton model.

  1. 1. Artificial Intelligence for Option Pricing

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Emil Hietanen; [2022-06-19]
    Nyckelord :Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

    Sammanfattning : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. LÄS MER

  3. 2. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Joel Forsberg; [2022]
    Nyckelord :Swaptions; Clearinghouse; Compression; Interest rate swap;

    Sammanfattning : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. LÄS MER

  4. 3. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Olle Ottander; Fredrik Lindstedt; [2022]
    Nyckelord :Option; American Option; Monte-Carlo; Least-Square; Black-Scholes; Merton; Finite Moment Log Stable; FMLS; Heston; Expected Continuation Value; Mathematics and Statistics;

    Sammanfattning : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. LÄS MER

  5. 4. Forecasting Call Option prices : A Quantitative Study in Financial Economics

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Nationalekonomi

    Författare :Roger Lundmark; [2020]
    Nyckelord :;

    Sammanfattning : It is not uncommon that the theoretical price of a model is different from the market price due to various disturbances. The purpose of this study was to analyze how well the original Black-Scholes-Merton model performs accurate forecasts of the option price, where the underlying asset was the NIFTY50 stock index. LÄS MER

  7. 5. Option Pricing using the Fast Fourier Transform Method

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Abaynesh Berta; [2020]
    Nyckelord :Black-Scholes-Merton model; Characteristic function; Fast Fourier transform; Fourier Inverse Fourier transform; Option pricing;

    Sammanfattning : The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. LÄS MER