Sökning: "Merton jump diffusion model"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden Merton jump diffusion model.

1. 1. Artificial Intelligence for Option Pricing

   Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

   Författare :Emil Hietanen; [2022-06-19]
   Nyckelord :Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

   Sammanfattning : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. LÄS MER

3. 2. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

   Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Författare :Axel Nilsson; [2022]
   Nyckelord :Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

   Sammanfattning : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. LÄS MER

4. 3. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Olle Ottander; Fredrik Lindstedt; [2022]
   Nyckelord :Option; American Option; Monte-Carlo; Least-Square; Black-Scholes; Merton; Finite Moment Log Stable; FMLS; Heston; Expected Continuation Value; Mathematics and Statistics;

   Sammanfattning : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. LÄS MER

5. 4. Detecting anomalies in data streams driven by ajump-diffusion process

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

   Författare :Carl Paulin; [2021]
   Nyckelord :machine learning; ML; random forest; anomaly; detection; outlier; analysis; financial modelling; merton; jump-diffusion process; stochastic process; isolation forest; IF; robust random cut forest; RRCF;

   Sammanfattning : Jump-diffusion processes often model financial time series as they can simulate the random jumps that they frequently exhibit. These jumps can be seen as anomalies and are essential for financial analysis and model building, making them vital to detect. LÄS MER

7. 5. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

   Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Carl Paulin; Maja Lindström; [2020]
   Nyckelord :Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

   Sammanfattning : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. LÄS MER