Sökning: "Option pricing"

Visar resultat 16 - 20 av 240 uppsatser innehållade orden Option pricing.

  1. 16. Tick-Tock: Time to invest? : A Study of the Investment Performance of Luxury Watches versus Traditional Assets

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Gustav Sjöstedt; Sara Mannerford; [2023]
    Nyckelord :Veblen goods alternative assets traditional assets luxury watches hedonic pricing method hedonic characteristics regression analysis Sharpe ratio Treynor ratio CAPM Jensen’s alpha;

    Sammanfattning : Background: This study discusses the phenomenon of luxury goods as investment assets,focusing on luxury watches in particular. The rise of globalization and increased wealth,particularly among the middle and high-income groups in developing countries, hascreated a larger potential customer base for luxury items. LÄS MER

  3. 17. Artificial Intelligence for Option Pricing

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Emil Hietanen; [2022-06-19]
    Nyckelord :Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

    Sammanfattning : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. LÄS MER

  4. 18. 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

  5. 19. Neural Networks for Option Pricing

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Sebastian Lindqvist; [2022]
    Nyckelord :;

    Sammanfattning : The task of pricing options is one with many different solutions, and overtime more complicated models of the markets have been developed in anattempt to replicate assets more accurately. In this thesis we investigate theuse of neural networks for pricing within these models. LÄS MER

  7. 20. 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