Sökning: "Black-Scholes"
Visar resultat 51 - 55 av 130 uppsatser innehållade ordet Black-Scholes.
51. Pricing Credit Default Index Swaptions A numerical evaluation of pricing models
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This study examines the background and nature of the credit default index swaption (CDIS) and presents relevant methods for modelling credit risk. A CDIS is a credit derivative contract that gives the buyer right to enter into a credit default index swap (CDS index) contract at a given point in time. LÄS MER
52. Irreversible Investments under Uncertainty and Inside-ownership. Real Option Approach in a Reduced Form Hazard Model
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This thesis investigates the probability of making a marginal investment in 33 Swedish Large Cap firms from 2005 to 2015. We use marginal rate of return as a trigger event in an option to delay. This is then examined in a reduced form hazard model using the Black & Scholes option parameters. LÄS MER
53. A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : We describe the Fourier-Gauss-Laguerre and Fourier cosine series method and test them extensively in four models: Black- Scholes, Black-Scholes with discrete dividends, Heston and Bates. While both methods mostly achieve good accuracy and high computational speed, problems may arise with respect to the optimal choice of the method-specific parameters and the extension of the methods to other models and financial products. LÄS MER
54. Implementation of Heston-Nandi GARCH model on OMXS30
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This paper evaluates the performance of Heston and Nandi’s closed form option pricing model (2000) on the OMXS30 (Swedish stock index), pre and post the financial crisis. The main purpose is to investigate if the more realistic assumptions of Heston and Nandi yield more accurate price estimates, than the computationally more simplistic Black-Scholes model. LÄS MER
55. Option Pricing in Discrete Time and Connections between the Binomial Model and Black-Scholes Model
Kandidat-uppsats, Uppsala universitet/Analys och sannolikhetsteoriSammanfattning : .... LÄS MER