Sökning: "Option-pricing"
Visar resultat 6 - 10 av 142 uppsatser innehållade ordet Option-pricing.
6. Exploring backward stochastic differential equations and deep learning for high-dimensional partial differential equations and European option pricing
Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : Many phenomena in our world can be described as differential equations in high dimensions. However, they are notoriously challenging to solve numerically due to the exponential growth in computational cost with increasing dimensions. LÄS MER
7. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model
Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. LÄS MER
8. Artificial Intelligence for Option Pricing
Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaperSammanfattning : 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
9. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study
Kandidat-uppsats,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
10. Neural Networks for Option Pricing
Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : 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