Sökning: "Black-Scholes"
Visar resultat 31 - 35 av 130 uppsatser innehållade ordet Black-Scholes.
31. CEO Incentives and firm risk: in the context of cross-listing
Magister-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : This research aims to investigate the relation of CEO compensation, especially how the sensitivity of CEO wealth to stock return volatility (vega), but also how the sensitivity of CEO wealth to stock price (delta) affects the risk of the firm. Moreover, these relations are investigated in the context of cross-listing to examine whether there are differences between US-only listed firms and those that are dual listed. LÄS MER
32. An introduction to Multilevel Monte Carlo with applications to options.
Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : A standard problem in mathematical finance is the calculation of the price of some financial derivative such as various types of options. Since there exists analytical solutions in only a few cases it will often boil down to estimating the price with Monte Carlo simulation in conjunction with some numerical discretization scheme. LÄS MER
33. Stress-testing of the Russian Banking Sector: Contingent Claims Analysis Approach
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This study aims to perform stress-testing of the Russian banking sector with a focus on credit risk measures derived by using contingent claims analysis, an extension of Black-Scholes and Merton option pricing theory. Risk exposure indicators are linked to a number of macroeconomic variables that describe global and domestic economic and financial development. LÄS MER
34. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model
Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored field of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. LÄS MER
35. Merton Jump-Diffusion Modeling of Stock Price Data
Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)Sammanfattning : In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. LÄS MER