Sökning: "jump-diffusion model"
Visar resultat 1 - 5 av 25 uppsatser innehållade orden jump-diffusion model.
1. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model
Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. LÄS MER
2. Artificial Intelligence for Option Pricing
Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaperSammanfattning : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. LÄS MER
3. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study
Kandidat-uppsats,Sammanfattning : Option pricing is a central concept in finance. Since F. Black and M. Scholes in troduced their formula for pricing options in 1973 it has been widely adopted, but it has also been proven to have some limitations in its inherent assumptions and thus subsequent performance. LÄS MER
4. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas
Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenSammanfattning : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. LÄS MER
5. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. LÄS MER