Sökning: "Nordin Said"

Visar resultat 6 - 6 av 6 uppsatser innehållade orden Nordin Said.

1. 6. Structured Products Modelled as Stochastic Processes

   Master-uppsats, Lunds universitet/Fysiska institutionen

   Författare :Fredrik Nordin; [2013]
   Nyckelord :Auto-call; GBM; GARCH; Structured products; Sprinter; Physics and Astronomy;

   Sammanfattning : In this thesis, the value of the two composed financial products (structured products), sprinters and auto-calls, are studied and compared to the European call option. The study is preformed using both analytical and numerical solutions, where the underlying is either said to follow a GBM-process (Geometric Brownian Motion) or a GARCH-process (Generalized Autoregressive Conditional Heteroskedasticity). LÄS MER