Sökning: "black scholes equity"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden black scholes equity.

  1. 1. 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

  2. 2. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Giulia Cesaroni; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Sammanfattning : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. LÄS MER

  3. 3. En studie av prissättningen av strukturerade produkter på den svenska finansiella marknaden

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Mattias Nilsson; Erik Sandberg; [2016]
    Nyckelord :;

    Sammanfattning : Denna studie syftar till att undersöka marknaden för strukturerade produkter i allmänhet och prissättningen av aktieindexobligationer och warranter i synnerhet. Priset på aktieindexobligationer beräknas med Black­Scholes­Mertons modell för prissättning av optioner tillsammans med obligationsteori och prissättningen av warranter modelleras även den med Black­Scholes­Merton. LÄS MER

  4. 4. Convertible Bonds: a Qualitative and Numerical Analysis

    Kandidat-uppsats, KTH/Matematik (Inst.)

    Författare :Bianca Dufour Partanen; Emelie Järnberg; [2014]
    Nyckelord :;

    Sammanfattning : A convertible bond is a nancial instrument which has both an equity part and a xed-income part. The pricing of nancial securities has for quite obvious reasons become extensively studied in the past decades. In this paper we study the Black-Scholes model, based on the equity value, where the equity is modelled by geometric brownian motion. LÄS MER


    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jesper Giversen; Mohamed Bendkia; [2011]
    Nyckelord :Geometric Brownian Motion; GBM; Constant Elasticity of Variance; CEV; Continuous Time Processes; Financial Markets; Financial Crisis; Business and Economics;

    Sammanfattning : This research aims at studying continuous time models within different stock market environments. We assume that the modeling of continuous time processes may be altered whether an equity market is experiencing a crisis or a pre-crisis period. LÄS MER