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Visar resultat 1 - 5 av 21 uppsatser som matchar ovanstående sökkriterier.

  1. 1. Pricing Convertible Bonds Using Monte Carlo Simulations

    Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Gustav Marklund Brinell; [2023]
    Nyckelord :Convertible bonds; Monte Carlo;

    Sammanfattning : In this paper we dive into the world of pricing convertible bonds, with increasing complexity. This work aims to investigate the pricing methods behind different convertibles and see how well they agree with exact prices and benchmarks from established literature. LÄS MER

  3. 2. Pricing and Hedging of Financial Instruments using Forward–Backward Stochastic Differential Equations : Call Spread Options with Different Interest Rates for Borrowing and Lending

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Abigail Hailu Berta; [2022]
    Nyckelord :Backward stochastic differential equations BSDEs ; Markovian BSDEs; Least square Monte Carlo method; Deep BSDE method; Nonlinear option pricing and hedging problems; Pricing and hedging in high dimensions.;

    Sammanfattning : In this project, we are aiming to solve option pricing and hedging problems numerically via Backward Stochastic Differential Equations (BSDEs). We use Markovian BSDEs to formulate nonlinear pricing and hedging problems of both European and American option types. LÄS MER

  4. 3. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Mara Kalicanin Dimitrov; [2022]
    Nyckelord :Almost Exact Scheme; Monte Carlo; Bermudan Options; Least Squares Monte Carlo; CIR; Heston Model; Double Heston Model; Stochastic Volatility;

    Sammanfattning : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. LÄS MER

  5. 4. 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

  7. 5. Fisher Inference and Local Average Treatment Effect: A Simulation study

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Iveta Tvaranaviciute; [2020]
    Nyckelord :Randomized experiments; noncompliance; two-stage least squares; weak instruments; Fisher Randomization Test; Neyman-Pearson; statistical power;

    Sammanfattning : This thesis studies inference to the complier treatment effect denoted LATE. The standard approach is to base the inference on the two-stage least squares (2SLS) estimator and asymptotic Neyman inference, i.e., the t-test. LÄS MER