Sökning: "Option-pricing"

Visar resultat 16 - 20 av 142 uppsatser innehållade ordet Option-pricing.

1. 16. 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. 17. 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

4. 18. 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

5. 19. Option pricing in the binomial model

   Kandidat-uppsats, Uppsala universitet/Tillämpad matematik och statistik

   Författare :Jasmine Vestman; [2021]
   Nyckelord :;

   Sammanfattning : .... LÄS MER

7. 20. Volatility Forecasting Performance of GARCH Models : A Study on Nordic Indices During COVID-19

   Master-uppsats, Umeå universitet/Nationalekonomi

   Författare :Ludwig Schmidt; [2021]
   Nyckelord :;

   Sammanfattning : Volatility forecasting is an important tool in financial economics such as risk management, asset allocation and option pricing since an understanding of future volatility can help professional and private investors minimize their losses. The purpose of this paper is to investigate the volatility forecasting performance of symmetric and asymmetric GARCH models on Nordic indices during COVID-19. LÄS MER