Sökning: "Constant Elasticity of Variance"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Constant Elasticity of Variance.

  1. 1. Investigation of portfolio strategies by means of simulation

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Alexander Schälin; [2022-07-01]
    Nyckelord :Constant proportion portfolio insurance; Option based portfolio insurance; Irrational fraction brownian motion; Constant elasticity of variance; Ho-Lee; Black- Derman-Toy;

    Sammanfattning : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. LÄS MER

  3. 2. CONTINUOUS TIME PROCESSES IN TIMES OF CRISIS: THE CASE OF GBM AND CEV MODELS

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jesper Giversen; Mohamed Bendkia; [2011]
    Nyckelord :Geometric Brownian Motion; GBM; Constant Elasticity of Variance; CEV; Continuous Time Processes; Financial Markets; Financial Crisis; Business and Economics;

    Sammanfattning : This research aims at studying continuous time models within different stock market environments. We assume that the modeling of continuous time processes may be altered whether an equity market is experiencing a crisis or a pre-crisis period. LÄS MER

  4. 3. Dynamisk hedging i praktiken: En undersökning av OMXS30 för Black-Scholes-Merton-antagandena.

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Carl Nilsson; [2011]
    Nyckelord :Black–Scholes–Merton; Hedging; Greker; CEV; Normalitetstest.; Business and Economics;

    Sammanfattning : Uppsatsen inleds med en genomgång av ramverket för Black-Scholes-Merton-modellen. Bl. a. härleds Black och Scholes partiella differentialekvation genom att replikera avkastningen från en köpoption med hjälp av en självfinansierad portfölj bestående utav aktier och obligationer. LÄS MER

  5. 4. Valuation of exotic options under the Constant Elasticity of Variance model by exact Monte Carlo simulation : A MATLAB GUI application

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

    Författare :Hayat Haseeb; Rahul Duggal; [2010]
    Nyckelord :;

    Sammanfattning : Diffusions are broadly used in mathematical finance for modeling asset prices. We consider the exact path sampling of a constant elasticity of variance diffusion model obtained from a squared Bessel process. LÄS MER

  7. 5. Dynamic hedging of swaptions

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Emil Lauri; Alexander Milles; [2009]
    Nyckelord :Hedging; swaption; Black model; CEV model;

    Sammanfattning : This thesis shows that strictly following the Black model exposes the user to unexpected risk when hedging swaptions. The results emphasize that the strike offset and time to expiry have explanatory power for the hedging performance of the Black model. LÄS MER