Sökning: "Black-Scholes"

Visar resultat 46 - 50 av 130 uppsatser innehållade ordet Black-Scholes.

  1. 46. Extracting volatility smiles from historical spot data

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Emil Larsson; [2017]
    Nyckelord :Monte Carlo option pricing; empirical volatility smile; Business and Economics;

    Sammanfattning : The Black-Scholes model has been the fundamental framework for option pricing since its publication 1973, but it is known to have shortcomings. To correct for this, plenty of research in option pricing theory has been focused on calibrating a stochastic process to match asset behavior in the financial markets better than the geometric Brownian motion that Black-Scholes assume describe asset behaviour justly. LÄS MER

  3. 47. Smoothing of initial conditions for high order approximations in option pricing

    Kandidat-uppsats, Uppsala universitet/Avdelningen för beräkningsvetenskap

    Författare :Andreas Abrahamsson; Rasmus Pettersson; [2016]
    Nyckelord :Finite Differences; Computational Finance; Black Scholes;

    Sammanfattning : In this article the Finite Difference method is used to solve the Black Scholes equation. A second order and fourth order accurate scheme is implemented in space and evaluated. The scheme is then tried for different initial conditions. First the discontinuous pay off function of a European Call option is used. LÄS MER

  4. 48. En studie av prissättningen av strukturerade produkter på den svenska finansiella marknaden

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Mattias Nilsson; Erik Sandberg; [2016]
    Nyckelord :;

    Sammanfattning : Denna studie syftar till att undersöka marknaden för strukturerade produkter i allmänhet och prissättningen av aktieindexobligationer och warranter i synnerhet. Priset på aktieindexobligationer beräknas med Black­Scholes­Mertons modell för prissättning av optioner tillsammans med obligationsteori och prissättningen av warranter modelleras även den med Black­Scholes­Merton. LÄS MER

  5. 49. Gap Premium Pricing in Leveraged Exchange Traded Notes

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Axel Broström; Richard Krstiansson; [2016]
    Nyckelord :;

    Sammanfattning : Exchange traded notes have recently seen a surge in popularity. Investors are pouring cash into these debt securities that track various underlying assets. Riskier leveraged exchange traded notes replicate the daily return of the underlying asset multiplied by a lever. LÄS MER

  7. 50. Stencil Study for RBF-FD in Option Pricing

    Kandidat-uppsats, Uppsala universitet/Institutionen för teknikvetenskaper

    Författare :Robin Eriksson; [2016]
    Nyckelord :RBF-FD; Option pricing;

    Sammanfattning : This thesis contains results on convergence studies for different stencils of radial basis function generated finite difference (RBF-FD) method applied to solving Black-Scholes equation for pricing European call options. The results experimentally confirm the theoretical convergence rates for smooth payoff functions with stencils of size 3, 5 and 7 in one- dimensional problems, and 9, 13 and 25 in two- dimensional problems. LÄS MER