Sökning: "modeling asset price dynamics"
Hittade 2 uppsatser innehållade orden modeling asset price dynamics.
1. Pricing of European Options with Subjective Probability : Ambiguity aversion in the options market during the European sovereign debt crisis
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : This essay develops an option pricing formula where the market participantsare assumed to not follow a uniform approach with respect to uncertainty thatarises under extreme market events. By using a continuous Choquet randomwalk for modeling asset dynamics, as well as including marginal utility, an optionprice kernel is obtained- this is opposed to the unique price that arises inthe standard MMBS framework. LÄS MER
2. The Predictability of Speculative Bubbles : An examination of the log-periodic power law model
Magister-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenSammanfattning : In this thesis we examine the ability of the log-periodic power law model to accurately predict the end of speculative bubbles on financial markets through modeling of asset price dynamics on a selection of historical bubbles. The methods we use are based on a nonlinear least squares estimation which yields predictions of when the bubble will change regime. LÄS MER