Sökning: "black and scholes"

Visar resultat 31 - 35 av 138 uppsatser innehållade orden black and scholes.

  1. 31. Numerisk prissättning av exotiska optioner

    Kandidat-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Kasper Bågmark; Emil Carlsson; Victor Ebberstein; Nadja Grochevaia; Carl Söderpalm; [2019-06-26]
    Nyckelord :;

    Sammanfattning : This paper examines Asian, lookback and barrier options of European style on the time interval [0; T], where T is the time of maturity. The purpose is to investigate numerical methods to compute their price within the Black-Scholes model. LÄS MER

  3. 32. CEO Incentives and firm risk: in the context of cross-listing

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :William Lennartsson; Harley Ljungdahl; [2019]
    Nyckelord :CEO compensation; CEO incentives; Stock options; Firm risk; Black-Scholes; Delta; Vega; Agency Theory; Business and Economics;

    Sammanfattning : This research aims to investigate the relation of CEO compensation, especially how the sensitivity of CEO wealth to stock return volatility (vega), but also how the sensitivity of CEO wealth to stock price (delta) affects the risk of the firm. Moreover, these relations are investigated in the context of cross-listing to examine whether there are differences between US-only listed firms and those that are dual listed. LÄS MER

  4. 33. An introduction to Multilevel Monte Carlo with applications to options.

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

    Författare :Kristofer Cronvald; [2019]
    Nyckelord :Multilevel Monte Carlo; Options; Mathematical finance; Simulation; Stochastic Differential Equations; Computational complexity; Strong convergence; Weak convergence; Euler-Maruyama; Milstein.;

    Sammanfattning : A standard problem in mathematical finance is the calculation of the price of some financial derivative such as various types of options. Since there exists analytical solutions in only a few cases it will often boil down to estimating the price with Monte Carlo simulation in conjunction with some numerical discretization scheme. LÄS MER

  5. 34. Stress-testing of the Russian Banking Sector: Contingent Claims Analysis Approach

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anna Kulakova; [2019]
    Nyckelord :credit risk; stress-testing; contingent claims analysis; Merton model; vector autoregression; Business and Economics;

    Sammanfattning : This study aims to perform stress-testing of the Russian banking sector with a focus on credit risk measures derived by using contingent claims analysis, an extension of Black-Scholes and Merton option pricing theory. Risk exposure indicators are linked to a number of macroeconomic variables that describe global and domestic economic and financial development. LÄS MER

  7. 35. Anticipated Events’ Impact on FX Options’ Implied Volatility

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Frej Håkansson; Björn Nilsson; [2018]
    Nyckelord :Volatility frown; implied volatility; jump model; anticipated event; SABR; FX Options; Mathematics and Statistics;

    Sammanfattning : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. LÄS MER