Sökning: "Nonlinear Option Pricing"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Nonlinear Option Pricing.

  1. 1. Exploring backward stochastic differential equations and deep learning for high-dimensional partial differential equations and European option pricing

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

    Författare :Jonathan Leung; [2023]
    Nyckelord :Backward Stochastic Differential Equations; Semilinear Parabolic Partial Differential Equations; Artificial Neural Networks; Nonlinear Option Pricing; Black-Scholes; Nonlinear Feynman-Kac; Euler-Maruyama;

    Sammanfattning : Many phenomena in our world can be described as differential equations in high dimensions. However, they are notoriously challenging to solve numerically due to the exponential growth in computational cost with increasing dimensions. LÄS MER

  3. 2. 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 kommunikation

    Författare :Abigail Hailu Berta; [2022]
    Nyckelord :Backward stochastic differential equations BSDEs ; Markovian BSDEs; Least square Monte Carlo method; Deep BSDE method; Nonlinear option pricing and hedging problems; Pricing and hedging in high dimensions.;

    Sammanfattning : 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

  4. 3. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

    Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Carl Paulin; Maja Lindström; [2020]
    Nyckelord :Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

    Sammanfattning : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. LÄS MER

  5. 4. Combinatorial and price efficient optimization of the underlying assets in basket options

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Sara Alexis; [2017]
    Nyckelord :Option pricing; correlated stochastic processes; Basket option; moment matching; lognormal approximation; binary nonlinear optimization; continuous nonlinear optimization; Monte Carlo simulation; penalty methods;

    Sammanfattning : The purpose of this thesis is to develop an optimization model that chooses the optimal and price efficient combination of underlying assets for a equally weighted basket option. To obtain a price efficient combination of underlying assets a function that calculates the basket option price is needed, for further use in an optimization model. LÄS MER

  7. 5. Implementation of Heston-Nandi GARCH model on OMXS30

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Oscar Sjögren; Jakob Bengtsson Ekström; [2015]
    Nyckelord :Financial Crisis; Heston and Nandi; HN-GARCH; OMXS30; Option Pricing.; Business and Economics;

    Sammanfattning : This paper evaluates the performance of Heston and Nandi’s closed form option pricing model (2000) on the OMXS30 (Swedish stock index), pre and post the financial crisis. The main purpose is to investigate if the more realistic assumptions of Heston and Nandi yield more accurate price estimates, than the computationally more simplistic Black-Scholes model. LÄS MER