Sökning: "black and scholes"

Visar resultat 36 - 40 av 138 uppsatser innehållade orden black and scholes.

1. 36. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Robert Constantin; Denis Gerzic; [2018]
   Nyckelord :Municipal borrowing; Nikkei-linked loans; Multi-curve framework; Discounting curves; Forward curves; CVA; Monte Carlo simulation; Structured bond; Black and Scholes PDE; Structured swap;

   Sammanfattning : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. LÄS MER

3. 37. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model

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

   Författare :Nathaniel Ahy; Mikael Sierra; [2018]
   Nyckelord :Implied Volatility; Stochastic Volatility; Implied Volatility Surfaces; European Options; Moore-Penrose Inverse; ;

   Sammanfattning : Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored field of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. LÄS MER

4. 38. Merton Jump-Diffusion Modeling of Stock Price Data

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

   Författare :Furui Tang; [2018]
   Nyckelord :Black-Scholes Model; Poisson Process; Compound Poisson Process; Merton Jump-Diffusion Model;

   Sammanfattning : In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. LÄS MER

5. 39. Assessing the Economic Value of Implied Volatility Estimates

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Johannes Ackermann; [2018]
   Nyckelord :implied volatility; option pricing; modern portfolio theory; GARCH; Markov switching models;

   Sammanfattning : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. LÄS MER

7. 40. Hedging Foreign Exchange Exposure in Private Equity Using Financial Derivatives

   Master-uppsats, KTH/Matematisk statistik

   Författare :Filip Kwetczer; Carl Åkerlind; [2018]
   Nyckelord :Private Equity; Foreign Exchange Exposure; Hedging; Black-Scholes Model; Financial Derivatives; Private Equity; Valutaexponering; Hedging; Black-Scholes Modell; Finansiella Derivat;

   Sammanfattning : This thesis sets out to examine if and how private equity funds should hedge foreign exchange exposure. To our knowledge the field of foreign exchange hedging within private equity, from the private equity firms’ point of view, is vastly unexplored scientifically. LÄS MER