Sökning: "Option-pricing"

Visar resultat 21 - 25 av 142 uppsatser innehållade ordet Option-pricing.

  1. 21. Option Pricing using Artificial Neural Networks

    Kandidat-uppsats, Lunds universitet/Beräkningsbiologi och biologisk fysik - Genomgår omorganisation

    Författare :Jan Müller; [2021]
    Nyckelord :Physics and Astronomy;

    Sammanfattning : Neural networks have an increasingly important role in the financial market, by offering a solution to stationarity and non-linearity whilst also providing robustness and predictive power. Options and option pricing are a fundamental area of interest in the daily activities of investment banks, hedge funds and trading firms in the financial market. LÄS MER

  3. 22. Constrained Gaussian Process Regression Applied to the Swaption Cube

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Adrien Deleplace; [2021]
    Nyckelord :Swaption cube; Constrained Gaussian process regression; No arbitrage; Option pricing; Hamiltonian Monte Carlo; Swaption-kuben; Regression för gaussiska processer med bivillkor;

    Sammanfattning : This document is a Master Thesis report in financial mathematics for KTH. This Master thesis is the product of an internship conducted at Nexialog Consulting, in Paris. This document is about the innovative use of Constrained Gaussian process regression in order to build an arbitrage free swaption cube. LÄS MER

  4. 23. Option pricing under Black-Scholes model using stochastic Runge-Kutta method.

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

    Författare :Ali Saleh; Ahmad Al-Kadri; [2021]
    Nyckelord :Runge–Kutta methods; Black–Scholes model; Monte Carlo simulation.;

    Sammanfattning : The purpose of this paper is solving the European option pricing problem under the Black–Scholes model. Our approach is to use the so-called stochastic Runge–Kutta (SRK) numericalscheme to find the corresponding expectation of the functional to the stochastic differentialequation under the Black–Scholes model. LÄS MER

  5. 24. Estimating Marketability Discounts in Sale Restricted Options Using Compound Option Pricing Theory

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Andreas Bengtsson; [2020-07-07]
    Nyckelord :;

    Sammanfattning : This thesis presents a method for estimating the discount for lack of marketability (DLOM) in call options which are restricted for sale. The DLOM is modeled as a put option on the restricted call option, known as a compound option, with two different approaches towards setting the strike price of the compound option. LÄS MER

  7. 25. Deep Learning and the Heston Model:Calibration & Hedging

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

    Författare :Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Nyckelord :deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Sammanfattning : The computational speedup of computers has been one of the de ning characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. LÄS MER