Sökning: "Monte Carlo option pricing"

Visar resultat 11 - 15 av 59 uppsatser innehållade orden Monte Carlo option pricing.

1. 11. Differential Deep Learning for Pricing Exotic Financial Derivatives

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Erik Alexander Aslaksen Jonasson; [2021]
   Nyckelord :Deep Learning; Exotic Derivatives; Differential Machine Learning;

   Sammanfattning : Calculating the value of a financial derivative is a central problem in quantitative finance. For many exotic derivatives there are no closed-form solutions for present values, instead, computationally expensive Monte Carlo methods are used for valuation. LÄS MER

3. 12. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Robin Nordström; Sepand Tabari; [2021]
   Nyckelord :Applied Mathematics; Financial Mathematics; Option Pricing; Binomial Option Pricing Model; Basket Option; Delta Neutrality; Data Analysis; Tillämpad Matematik; Finansiell Matematik; Optionsprissättning; Binomialmodellen; Korgoption; Deltaneutralitet; Dataanalys;

   Sammanfattning : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. LÄS MER

4. 13. Pricing Complex derivatives under the Heston model

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Omar Naim; [2021]
   Nyckelord :Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

   Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER

5. 14. Pricing Put Options with Multilevel Monte Carlo Simulation

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

   Författare :Jonathan Schöön; [2021]
   Nyckelord :Multilevel Monte Carlo Simulation”; ”European Put Option Pricing” ”Stochastic Differential Equations;

   Sammanfattning : Monte Carlo path simulations are common in mathematical and computational finance as a way of estimating the expected values of a quantity such as a European put option, which is functional to the solution of a stochastic differential equation (SDE). The computational complexity of the standard Monte Carlo (MC) method grows quite large quickly, so in this thesis we focus on the Multilevel Monte Carlo (MLMC) method by Giles, which uses multigrid ideas to reduce the computational complexity. LÄS MER

7. 15. Multilevel Monte Carlo Simulation for American Option Pricing

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

   Författare :Sabina Colakovic; Viktor Ågren; [2021]
   Nyckelord :Multilevel Monte Carlo simulation; Stochastic Differential Equations; Option pricing.;

   Sammanfattning : In this thesis, we center our research around the analytical approximation of American put options with the Multilevel Monte Carlo simulation approach. The focus lies on reducing the computational complexity of estimating an expected value arising from a stochastic differential equation. LÄS MER