Sökning: "incomplete markets"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden incomplete markets.

  1. 1. Deep Learning and the Heston Model:Calibration & Hedging

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Nyckelord :deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Sammanfattning : The computational speedup of computers has been one of the de ning characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. LÄS MER

  2. 2. Volatility Curves of Incomplete Markets

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Kateryna Chechelnytska; [2020-06-23]
    Nyckelord :Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

    Sammanfattning : The graph of the implied volatility of call options as a function of the strike priceis called volatility curve. If the options market were perfectly described by theBlack-Scholes model, the implied volatility would be independent of the strike priceand thus the volatility curve would be a at horizontal line. LÄS MER

  3. 3. Intraday Volatility Surface Calibration

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Tobias Blomé; Adam Törnqvist; [2020]
    Nyckelord :;

    Sammanfattning : On the financial markets, investors search to achieve their economical goals while simultaneously being exposed to minimal risk. Volatility surfaces are used for estimating options' implied volatilities and corresponding option prices, which are used for various risk calculations. LÄS MER

  4. 4. Reducing Inequality via Taxation Reforms - a Macroeconomic Analysis

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Lukas Neuhauser; [2017]
    Nyckelord :Inequality; redistribution; taxation reforms; welfare effects; incomplete markets;

    Sammanfattning : Since the 1980s income and wealth inequality has been increasing in Europe and the United States. This paper examines taxation reform scenarios to reduce inequality in Germany, while simultaneously observing the effects on macroeconomic variables. LÄS MER

  5. 5. Irreversible Investments under Uncertainty and Inside-ownership. Real Option Approach in a Reduced Form Hazard Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Magnus Brandt; Jesper Börjesson; [2015-07-13]
    Nyckelord :Real options; irreversibility; hazard model; inside-ownership; systematic risk; idiosyncratic risk;

    Sammanfattning : This thesis investigates the probability of making a marginal investment in 33 Swedish Large Cap firms from 2005 to 2015. We use marginal rate of return as a trigger event in an option to delay. This is then examined in a reduced form hazard model using the Black & Scholes option parameters. LÄS MER