Sökning: "Monte Carlo option pricing"

Visar resultat 16 - 20 av 59 uppsatser innehållade orden Monte Carlo option pricing.

1. 16. Constrained Gaussian Process Regression Applied to the Swaption Cube

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Adrien Deleplace; [2021]
   Nyckelord :Swaption cube; Constrained Gaussian process regression; No arbitrage; Option pricing; Hamiltonian Monte Carlo; Swaption-kuben; Regression för gaussiska processer med bivillkor;

   Sammanfattning : This document is a Master Thesis report in financial mathematics for KTH. This Master thesis is the product of an internship conducted at Nexialog Consulting, in Paris. This document is about the innovative use of Constrained Gaussian process regression in order to build an arbitrage free swaption cube. LÄS MER

3. 17. Option pricing under Black-Scholes model using stochastic Runge-Kutta method.

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

   Författare :Ali Saleh; Ahmad Al-Kadri; [2021]
   Nyckelord :Runge–Kutta methods; Black–Scholes model; Monte Carlo simulation.;

   Sammanfattning : The purpose of this paper is solving the European option pricing problem under the Black–Scholes model. Our approach is to use the so-called stochastic Runge–Kutta (SRK) numericalscheme to find the corresponding expectation of the functional to the stochastic differentialequation under the Black–Scholes model. LÄS MER

4. 18. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

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

   Författare :Fredrik Gerdin Börjesson; [2021]
   Nyckelord :Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

   Sammanfattning : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. LÄS MER

5. 19. Optimization of option pricing : - Variance reduction and low-discrepancy techniques

   Kandidat-uppsats, Umeå universitet/Företagsekonomi

   Författare :Julia Larsson; [2020]
   Nyckelord :;

   Sammanfattning : In recent years, the importance and the interest in financial instrument especially derivatives have increased. The Nobel Prize in Economics 1997 was dedicated to Black & Scholes for their work with finding a new method that estimates option prices for Plain Vanilla Options. LÄS MER

7. 20. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach

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

   Författare :Omar Mohammad; Rafi Khaliqi; [2020]
   Nyckelord :options; pricing; american; Monte-Carlo; Least square; heston model; stochastic; volatility; early exercise boundary volatility;

   Sammanfattning : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. LÄS MER