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Hittade 2 uppsatser som matchar ovanstående sökkriterier.

1. 1. Pricing of European Options with Subjective Probability : Ambiguity aversion in the options market during the European sovereign debt crisis

   Master-uppsats, Umeå universitet/Nationalekonomi

   Författare :Simon Edvinsson; [2016]
   Nyckelord :;

   Sammanfattning : 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

3. 2. The Predictability of Speculative Bubbles : An examination of the log-periodic power law model

   Magister-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Författare :Marcus Gustavsson; Daniel Levén; [2015]
   Nyckelord :Econophysics; mathematical finance; LPPL; log-periodic power law model; JLS-model; power law; speculative bubbles; bubble forecasting; modeling asset price dynamics; financial bubbles; bubbles; crashes;

   Sammanfattning : 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