Sökning: "black and scholes"

Visar resultat 11 - 15 av 138 uppsatser innehållade orden black and scholes.

  1. 11. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Olle Ottander; Fredrik Lindstedt; [2022]
    Nyckelord :Option; American Option; Monte-Carlo; Least-Square; Black-Scholes; Merton; Finite Moment Log Stable; FMLS; Heston; Expected Continuation Value; Mathematics and Statistics;

    Sammanfattning : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. LÄS MER

  3. 12. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Oscar Brink Bolin; Joel Ahnvik; [2022]
    Nyckelord :Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

    Sammanfattning : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. LÄS MER

  4. 13. 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

  5. 14. Deterministic Quadrature Formulae for the Black–Scholes Model

    Kandidat-uppsats, 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

  7. 15. Pricing Complex derivatives under the Heston model

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Omar Naim; [2021]
    Nyckelord :Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

    Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER