Sökning: "black and scholes"

Visar resultat 26 - 30 av 138 uppsatser innehållade orden black and scholes.

  1. 26. Can we predict future volatility on the OMXS 30? : A quantative study on historical and implied volatility

    Magister-uppsats, Umeå universitet/Nationalekonomi

    Författare :Martin Hallberg; [2020]
    Nyckelord :;

    Sammanfattning : When making investment decisions risk is a highly important aspect to account for. Many studies have investigated how to measure risk and forecast it for an investment decision. This study takes a closer look at what forecast method is best on the Swedish index OMX Stockholm 30. During the period from January 2016 to December 2018. LÄS MER

  3. 27. Option Pricing on Levy Based Markets

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Rafael Velasquez; [2020]
    Nyckelord :;

    Sammanfattning :   The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options. LÄS MER

  4. 28. Option Pricing using the Fast Fourier Transform Method

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

    Författare :Abaynesh Berta; [2020]
    Nyckelord :Black-Scholes-Merton model; Characteristic function; Fast Fourier transform; Fourier Inverse Fourier transform; Option pricing;

    Sammanfattning : The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. LÄS MER

  5. 29. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

    Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Carl Paulin; Maja Lindström; [2020]
    Nyckelord :Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

    Sammanfattning : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. LÄS MER

  7. 30. Option Pricing Under the Markov-switching Framework Defined by Three States

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

    Författare :Minna Castoe; Teo Raspudic; [2020]
    Nyckelord :Option pricing; Markov-switching framework; Markov chain; Stochastic volatility Monte carlo simulation;

    Sammanfattning : An exact solution for the valuation of the options of the European style can be obtained using the Black-Scholes model. However, some of the limitations of the Black-Scholes model are said to be inconsistent such as the constant volatility of the stock price which is not the case in real life. LÄS MER