Sökning: "Option pricing"

Visar resultat 26 - 30 av 240 uppsatser innehållade orden Option pricing.

  1. 26. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jan Müller; [2022]
    Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER

  3. 27. Option Modelling by Deep Learning

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Niclas Klausson; Victor Tisell; [2021-02-10]
    Nyckelord :Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Sammanfattning : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. LÄS MER

  4. 28. Differential Deep Learning for Pricing Exotic Financial Derivatives

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Erik Alexander Aslaksen Jonasson; [2021]
    Nyckelord :Deep Learning; Exotic Derivatives; Differential Machine Learning;

    Sammanfattning : Calculating the value of a financial derivative is a central problem in quantitative finance. For many exotic derivatives there are no closed-form solutions for present values, instead, computationally expensive Monte Carlo methods are used for valuation. LÄS MER

  5. 29. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Robin Nordström; Sepand Tabari; [2021]
    Nyckelord :Applied Mathematics; Financial Mathematics; Option Pricing; Binomial Option Pricing Model; Basket Option; Delta Neutrality; Data Analysis; Tillämpad Matematik; Finansiell Matematik; Optionsprissättning; Binomialmodellen; Korgoption; Deltaneutralitet; Dataanalys;

    Sammanfattning : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. LÄS MER

  7. 30. Pricing Complex derivatives under the Heston model

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Omar Naim; [2021]
    Nyckelord :Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

    Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER