Sökning: "Option pricing"
Visar resultat 11 - 15 av 240 uppsatser innehållade orden Option pricing.
11. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation
Master-uppsats, Uppsala universitet/Analys och partiella differentialekvationerSammanfattning : This thesis aims at evaluating and implementing Longstaff & Schwarz approach for approximating the value of American options. American options are generally hard to value, exercised at any time up to its expiration and moreover, there is no closed- form solution for an American option’s price. LÄS MER
12. Geometric Brownian Motion Option Pricing Model for Professional Football Contracts
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : In recent years, the valuation of football players has gained significant attention, especially in the context of their transfer value in the market. Our investigation explores the application of a Geometric Brownian Motion option pricing model to estimate the transfer value of football players, considering the option-like characteristics of player contracts. LÄS MER
13. 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 kommunikationSammanfattning : 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
14. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model
Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. LÄS MER
15. Techno-economic analysis of innovative storage power plants utilizing existing CCGT systems : An Austrian case study
Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)Sammanfattning : Efforts to mitigate climate change and current geopolitical disruptions have revealed that changes to the existing energy system are urgently required to offer sustainable and secure energy for Europe. Hence, the role of conventional thermal power plants is being challenged and new technologies providing additional functionality for the power grid are pushing into the market. LÄS MER