Sökning: "Local Volatility"

Visar resultat 21 - 25 av 43 uppsatser innehållade orden Local Volatility.

1. 21. Föräldrars erfarenheter av barnavårdsutredningar - om mötet med samhällets yttersta skyddsnät

   Master-uppsats, Lunds universitet/Socialhögskolan

   Författare :Signe Grumer; [2015]
   Nyckelord :Social work; parental experience; child protection investigation; assessment; social constructionist approach. Socialt arbete; förälder erfarenhet; barnavårdsutredningar; bedömningar; socialkonstruktionism.; Social Sciences;

   Sammanfattning : Parents' experiences of child protection investigations - a meeting with society's safety net. The aim of this study was to explore how parents experience child protection investigation processes and further to examine what those investigations are perceived to do and consist of. LÄS MER

3. 22. Local Volatility Calibration on the Foreign Currency Option Market

   Master-uppsats, Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolan

   Författare :Markus Falck; [2014]
   Nyckelord :FX-options; local volatility calibration; local variance gamma; votality interpolation extrapolation; variance swaps; option pricing;

   Sammanfattning : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). LÄS MER

4. 23. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :David Hjelmberg; Björn Lagerström; [2014]
   Nyckelord :American options; BSM PDE; discrete dividends; forward PDE; local volatility surface; automatic differentiation;

   Sammanfattning : In this master thesis we have examined the possibility of pricing multiple American options, on an underlying asset with discrete dividends, with a finite difference method. We have found a good and stable way to price one American option by solving the BSM PDE backwards, while also calculating the Greeks of the option with automatic differentiation. LÄS MER

5. 24. Determinants of the Sovereign Credit Default Swap Market

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

   Författare :Felix Roelkens; [2013]
   Nyckelord :Sovereign Credit Default Swap; Trading Volume Determinants; Credit Ratings; Empirical Analysis; DTCC Trading Data;

   Sammanfattning : This thesis investigates the determinants of sovereign CDS market activity for a sample of 59 sovereigns during the period of 2008 to 2012. The results indicate that CDS market activity is linked to global and country-specific factors, namely investors' global risk perceptions,the global business climate, the global financial sector health, the volatility of the local business climate and the ability to pay back USD denominated debt. LÄS MER

7. 25. Pricing With Uncertainty : The impact of uncertainty in the valuation models ofDupire and Black&Scholes

   Master-uppsats, KTH/Matematisk statistik

   Författare :Mirella Zetoun; [2013]
   Nyckelord :Dupire; Local Volatility; Implied Volatility; Structured Products; Autocalls; CPN; Calibration; Black Scholes; S P500; DAX; OMX;

   Sammanfattning : Theaim of this master-thesis is to study the impact of uncertainty in the local-and implied volatility surfaces when pricing certain structured products suchas capital protected notes and autocalls. Due to their long maturities, limitedavailability of data and liquidity issue, the uncertainty may have a crucialimpact on the choice of valuation model. LÄS MER