Sökning: "local volatility surface"

Hittade 4 uppsatser innehållade orden local volatility surface.

  1. 1. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    Master-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi

    Författare :Gustav Dackner; Linus Falk; [2019]
    Nyckelord :;

    Sammanfattning : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. LÄS MER

  2. 2. Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions

    Master-uppsats, Linköpings universitet/ProduktionsekonomiLinköpings universitet/Tekniska fakulteten; Linköpings universitet/ProduktionsekonomiLinköpings universitet/Tekniska fakulteten

    Författare :Gustav Sällberg; Pontus Söderbäck; [2015]
    Nyckelord :local volatility surface; LVS; optimization; roughness; smooth; risk neutral pricing; optimal growth; pricing error; automatic differentiation; algorithmic differentiation;

    Sammanfattning : The master thesis is focused on how a local volatility surfaces can be extracted by optimization with respectto smoothness and price error. The pricing is based on utility based pricing, and developed to be set in arisk neutral pricing setting. LÄS MER

  3. 3. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation

    Master-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi

    Författare :David Hjelmberg; Björn Lagerström; [2014]
    Nyckelord :American options; BSM PDE; discrete dividends; forward PDE; local volatility surface; automatic differentiation;

    Sammanfattning : In this master thesis we have examined the possibility of pricing multiple American options, on an underlying asset with discrete dividends, with a finite difference method. We have found a good and stable way to price one American option by solving the BSM PDE backwards, while also calculating the Greeks of the option with automatic differentiation. LÄS MER

  4. 4. Pricing With Uncertainty : The impact of uncertainty in the valuation models ofDupire and Black&Scholes

    Master-uppsats, KTH/Matematisk statistik

    Författare :Mirella Zetoun; [2013]
    Nyckelord :Dupire; Local Volatility; Implied Volatility; Structured Products; Autocalls; CPN; Calibration; Black Scholes; S P500; DAX; OMX;

    Sammanfattning : Theaim of this master-thesis is to study the impact of uncertainty in the local-and implied volatility surfaces when pricing certain structured products suchas capital protected notes and autocalls. Due to their long maturities, limitedavailability of data and liquidity issue, the uncertainty may have a crucialimpact on the choice of valuation model. LÄS MER