Sökning: "Option pricing"

Visar resultat 31 - 35 av 240 uppsatser innehållade orden Option pricing.

  1. 31. Pricing Put Options with Multilevel Monte Carlo Simulation

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

    Författare :Jonathan Schöön; [2021]
    Nyckelord :Multilevel Monte Carlo Simulation”; ”European Put Option Pricing” ”Stochastic Differential Equations;

    Sammanfattning : Monte Carlo path simulations are common in mathematical and computational finance as a way of estimating the expected values of a quantity such as a European put option, which is functional to the solution of a stochastic differential equation (SDE). The computational complexity of the standard Monte Carlo (MC) method grows quite large quickly, so in this thesis we focus on the Multilevel Monte Carlo (MLMC) method by Giles, which uses multigrid ideas to reduce the computational complexity. LÄS MER

  3. 32. Techno-economic Pricing model for Carbon Neutral Fuels as Seasonal Energy Storage

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

    Författare :Ananya Saraf; [2021]
    Nyckelord :Hydrogen; seasonal storage; geological storage; carbon-neutral fuels; Vätgas; säsongslagring; geologisk lagring; koldioxidneutrala bränslen;

    Sammanfattning : Green hydrogen produced through electrolysis of excess renewable energy is a promising seasonal energy storage solution with the potential to decarbonize the energy sector. However, it has physical properties that make it difficult to store and transport on a large scale for grid scale storage applications. LÄS MER

  4. 33. Implied volatility with HJM–type Stochastic Volatility model

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Thi Diu Cap; [2021]
    Nyckelord :Implied volatility surface; stochastic volatility model; HJM framework;

    Sammanfattning : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. LÄS MER

  5. 34. Multilevel Monte Carlo Simulation for American Option Pricing

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

    Författare :Sabina Colakovic; Viktor Ågren; [2021]
    Nyckelord :Multilevel Monte Carlo simulation; Stochastic Differential Equations; Option pricing.;

    Sammanfattning : In this thesis, we center our research around the analytical approximation of American put options with the Multilevel Monte Carlo simulation approach. The focus lies on reducing the computational complexity of estimating an expected value arising from a stochastic differential equation. LÄS MER

  7. 35. Option pricing in the binomial model

    Kandidat-uppsats, Uppsala universitet/Tillämpad matematik och statistik

    Författare :Jasmine Vestman; [2021]
    Nyckelord :;

    Sammanfattning : .... LÄS MER