Sökning: "jump-diffusion model"

Visar resultat 1 - 5 av 25 uppsatser innehållade orden jump-diffusion model.

  1. 1. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Samuel Rosén; [2023]
    Nyckelord :HQH; Heston Queue Hawkes; Option Pricing; jump diffusion;

    Sammanfattning : 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

  3. 2. Artificial Intelligence for Option Pricing

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Emil Hietanen; [2022-06-19]
    Nyckelord :Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

    Sammanfattning : 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

  4. 3. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study

    Kandidat-uppsats,

    Författare :Isak Meding; Viking Zandhoff Westerlund; [2022-04-07]
    Nyckelord :Option pricing; Black-Scholes; Monte Carlo simulation; Jump Diffusion process;

    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

  5. 4. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

    Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Axel Nilsson; [2022]
    Nyckelord :Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

    Sammanfattning : 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

  7. 5. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Olle Ottander; Fredrik Lindstedt; [2022]
    Nyckelord :Option; American Option; Monte-Carlo; Least-Square; Black-Scholes; Merton; Finite Moment Log Stable; FMLS; Heston; Expected Continuation Value; Mathematics and Statistics;

    Sammanfattning : 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