Sökning: "Monte Carlo simulation stochastic volatility models"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Monte Carlo simulation stochastic volatility models.

1. 1. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study

   Kandidat-uppsats,

   Författare :Isak Meding; Viking Zandhoff Westerlund; [2022-04-07]
   Nyckelord :Option pricing; Black-Scholes; Monte Carlo simulation; Jump Diffusion process;

   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

3. 2. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models

   Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Författare :Mara Kalicanin Dimitrov; [2022]
   Nyckelord :Almost Exact Scheme; Monte Carlo; Bermudan Options; Least Squares Monte Carlo; CIR; Heston Model; Double Heston Model; Stochastic Volatility;

   Sammanfattning : 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

4. 3. 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

5. 4. Particle-based Parameter Inference in Stochastic Volatility Models: Batch vs. Online

   Master-uppsats, KTH/Matematisk statistik

   Författare :Albin Toft; [2019]
   Nyckelord :Hidden Markov models; the PaRIS-algorithm; computational statistics; Monte Carlo simulation stochastic volatility models;

   Sammanfattning : This thesis focuses on comparing an online parameter estimator to an offline estimator, both based on the PaRIS-algorithm, when estimating parameter values for a stochastic volatility model. By modeling the stochastic volatility model as a hidden Markov model, estimators based on particle filters can be implemented in order to estimate the unknown parameters of the model. LÄS MER

7. 5. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Giulia Cesaroni; [2017-07-25]
   Nyckelord :Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

   Sammanfattning : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. LÄS MER