Sökning: "black and scholes"

Visar resultat 1 - 5 av 123 uppsatser innehållade orden black and scholes.

  1. 1. Option Modelling by Deep Learning

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Niclas Klausson; Victor Tisell; [2021-02-10]
    Nyckelord :Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Sammanfattning : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. LÄS MER

  2. 2. Deterministic Quadrature Formulae for the Black–Scholes Model

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation; Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Sajedeh Saadat; Timo Kudljakov; [2021]
    Nyckelord :Deterministic quadrature formulae; Stochastic differential equation; Black--Scholes model; Discretization method.;

    Sammanfattning : There exist many numerical methods for numerical solutions of the systems of stochastic differential equations. We choose the method of deterministic quadrature formulae proposed by Müller–Gronbach, and Yaroslavtseva in 2016. The idea is to apply a simplified version of the cubature in Wiener space. LÄS MER

  3. 3. Heston vs Black Scholes stock price modelling

    Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :Ida Bucic; [2021]
    Nyckelord :Heston model; Black Scholes model; CIR model; Stock price modelling;

    Sammanfattning : In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. LÄS MER

  4. 4. Volatility Curves of Incomplete Markets

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Kateryna Chechelnytska; [2020-06-23]
    Nyckelord :Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

    Sammanfattning : The graph of the implied volatility of call options as a function of the strike priceis called volatility curve. If the options market were perfectly described by theBlack-Scholes model, the implied volatility would be independent of the strike priceand thus the volatility curve would be a at horizontal line. LÄS MER

  5. 5. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Christopher Herron; André Zachrisson; [2020]
    Nyckelord :Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

    Sammanfattning : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. LÄS MER