Sökning: "S P 500 index options"

Visar resultat 1 - 5 av 13 uppsatser innehållade orden S P 500 index options.

  1. 1. Quantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfolio

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Christian Persson; Robin Williams; [2020-07-08]
    Nyckelord :VIX; strategy; mean-variance; simple moving average; volatility; transaction costs; bull market; bear market;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. 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 characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. LÄS MER

  3. 3. Option strategies using hybrid Support Vector Regression - ARIMA

    Master-uppsats, KTH/Matematisk statistik

    Författare :Negin Nayeri; [2020]
    Nyckelord :;

    Sammanfattning : In this thesis, the use of machine learning in option strategies is evaluated with focus on the S&P 500 Index. The first part of the thesis focuses on testing the performance power of the Support Vector Regression (SVR) method for the historical realized volatility with a window of 20 days. LÄS MER

  4. 4. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

    Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Carl Paulin; Maja Lindström; [2020]
    Nyckelord :Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

    Sammanfattning : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. LÄS MER

  5. 5. Testing Extended Rules of Thumb for the Dynamics of Volatility Surfaces

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Joar Mellström; [2019]
    Nyckelord :Volatility Surface; Implied Volatility; Rules of Thumb; NoArbitrage Condition; Index Options; Business and Economics;

    Sammanfattning : It is a common practise to quote option prices using their BlackScholes implied volatility. A volatility surface describes an options implied volatility as a function of the strike price and time to maturity. It can be used as a tool for hedging but also valuation when prices are not directly observable. LÄS MER