Sökning: "Trinomial trees"
Hittade 2 uppsatser innehållade orden Trinomial trees.
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. Optimal Investment with Corporate Tax Payments
Master-uppsats, KTH/Matematisk statistikSammanfattning : This Master's thesis examines the problem of optimal investment when corporate taxes have to be paid on capital gains. Tax payments share a lot of similarities with payoff from a call option where the underlying is the firm's capital. LÄS MER