Sökning: "Trinomial option pricing model"
Hittade 3 uppsatser innehållade orden Trinomial option pricing model.
1. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER
2. Volatility Curves of Incomplete Markets
Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaperSammanfattning : The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were perfectly described by the Black-Scholes model, the implied volatility would be independent of the strike price and thus the volatility curve would be a at horizontal line. LÄS MER
3. Lattice Approximations for Black-Scholes type models in Option Pricing
Kandidat-uppsats, Akademin för utbildning, kultur och kommunikationSammanfattning : This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. LÄS MER