Sökning: "S P 500 index options"

Visar resultat 11 - 14 av 14 uppsatser innehållade orden S P 500 index options.

  1. 11. Model risk quantification in option pricing

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Michael Montag; Fredrik Persson; [2015]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : This thesis investigates a methodology for quantification of model risk in option pricing. A set of different pricing models is specified and each model is assigned a probability weight based on the Akaike Information Criteria. It is then possible to obtain a price distribution of an exotic derivative from these probability weights. LÄS MER

  3. 12. Predictive Power of the Volatility Smile

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Henry Li; Johan Möller; [2011]
    Nyckelord :Volatility smile; Geometric Brownian Motion with Jump diffusion; Maximum Likelihood Estimation; Jump risk; Predictive Power;

    Sammanfattning : The Black-Scholes option pricing formula yield lower volatility than volatility observed in the market when looking at option prices. Several theories have been presented to explain this phenomenon and how the world of finance can use this information. LÄS MER

  4. 13. Predicting the smile: A study on the properties of the volatility surface of S&P Composite 500 Index option

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Johan Blomkvist; Viktor Berggren; [2010]
    Nyckelord :Implied volatility; Volatility smiles; Volatility surface; Options;

    Sammanfattning : The classic Black-Scholes model on option pricing from 1973 has been a widely debated and scrutinized theory over the past decades. Despite its proved limitations and simplifications, it remains as the most used pricing model of public traded options today. LÄS MER

  5. 14. Additional Information in Higher Order Derivatives of the Black-Scholes Formula

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jenny Pang; [2009]
    Nyckelord :Black-Scholes; Greeks; Higher order derivatives; Taylor expansion; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : Volatility smile arising from the Black-Scholes model is a long studied subject in option pricing theory. By analysing higher order derivatives of the model, I hope to put another perspective to the problem. LÄS MER