Sökning: "black scholes equity"

Visar resultat 6 - 7 av 7 uppsatser innehållade orden black scholes equity.

1. 6. CONTINUOUS TIME PROCESSES IN TIMES OF CRISIS: THE CASE OF GBM AND CEV MODELS

   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

3. 7. The implied probability distribution - A study of Swedish equity index options

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

   Författare :Johan Ring; [2011]
   Nyckelord :option-implied risk-neutral probability distribution; volatility smile; equity index options;

   Sammanfattning : This paper examines the option-implied risk-neutral probability distribution for index options traded on the Stockholm market over two decades. The focus is on the method of derivation with the goal of being valuable as a reference for future research as well as being valuable for its results. LÄS MER