Sökning: "Monte Carlo option pricing"
Visar resultat 6 - 10 av 59 uppsatser innehållade orden Monte Carlo option pricing.
6. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study
Kandidat-uppsats,Sammanfattning : Option pricing is a central concept in finance. Since F. Black and M. Scholes in troduced their formula for pricing options in 1973 it has been widely adopted, but it has also been proven to have some limitations in its inherent assumptions and thus subsequent performance. LÄS MER
7. Pricing and Hedging of Financial Instruments using Forward–Backward Stochastic Differential Equations : Call Spread Options with Different Interest Rates for Borrowing and Lending
Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : In this project, we are aiming to solve option pricing and hedging problems numerically via Backward Stochastic Differential Equations (BSDEs). We use Markovian BSDEs to formulate nonlinear pricing and hedging problems of both European and American option types. LÄS MER
8. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models
Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. LÄS MER
9. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : 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
10. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. LÄS MER