Sökning: "Monte Carlo option pricing"

Visar resultat 21 - 25 av 59 uppsatser innehållade orden Monte Carlo option pricing.

1. 21. Option Pricing Under the Markov-switching Framework Defined by Three States

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

   Författare :Minna Castoe; Teo Raspudic; [2020]
   Nyckelord :Option pricing; Markov-switching framework; Markov chain; Stochastic volatility Monte carlo simulation;

   Sammanfattning : An exact solution for the valuation of the options of the European style can be obtained using the Black-Scholes model. However, some of the limitations of the Black-Scholes model are said to be inconsistent such as the constant volatility of the stock price which is not the case in real life. LÄS MER

3. 22. Numerical solution for derivative models using finite difference methods and how this can be used with Monte Carlo simulation

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Marcus Hallabro; [2019]
   Nyckelord :Finite Difference Method; Option Pricing; Feynman-Kac Rep- resentation; Monte Carlo Simulation; Negative Probabilities.; Mathematics and Statistics;

   Sammanfattning : Derivative models often come in the form of stochastic differential equations. From these equations a partial differential equation (PDE) can be derived. By discretizing the PDE the numerical solution is obtained on a form where the value of the derivative can be seen as a probabilistic weighting of future values. LÄS MER

4. 23. Pricing of a balance sheet option limited by a minimum solvency boundary

   Master-uppsats, KTH/Matematisk statistik

   Författare :Josefine Bofeldt; Sara Joon; [2019]
   Nyckelord :;

   Sammanfattning : Pension companies are required by law to remain above a certain solvency level. The main purpose of this thesis is to determine the cost of remaining above a lower solvency level for different pension companies. This will be modelled by an option with a balance sheet as the underlying asset. LÄS MER

5. 24. Monte Carlo Path Simulation and the Multilevel Monte Carlo Method

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

   Författare :Krister Janzon; [2018]
   Nyckelord :Multilevel Monte Carlo; computational complexity; option pricing; path approximation; Euler–Maruyama; Milstein;

   Sammanfattning : A standard problem in the field of computational finance is that of pricing derivative securities. This is often accomplished by estimating an expected value of a functional of a stochastic process, defined by a stochastic differential equation (SDE). LÄS MER

7. 25. Pricing of European- and American-style Asian Options using the Finite Element Method

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

   Författare :Jesper Karlsson; [2018]
   Nyckelord :Option pricing; finite element; streamline-diffusion; penalty method; projected successive over-relaxation; Asian options; American-style Asian options; Eurasian options; Amerasian options;

   Sammanfattning : An option is a contract between two parties where the holder has the option to buy or sell some underlying asset after a predefined exercise time. Options where the holder only has the right to buy or sell at the exercise time is said to be of European-style, while options that can be exercised any time before the exercise time is said to be of American-style. LÄS MER