Sökning: "option and call and put options"

Visar resultat 1 - 5 av 27 uppsatser innehållade orden option and call and put options.

1. 1. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Oscar Brink Bolin; Joel Ahnvik; [2022]
   Nyckelord :Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

   Sammanfattning : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. LÄS MER

3. 2. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Robin Nordström; Sepand Tabari; [2021]
   Nyckelord :Applied Mathematics; Financial Mathematics; Option Pricing; Binomial Option Pricing Model; Basket Option; Delta Neutrality; Data Analysis; Tillämpad Matematik; Finansiell Matematik; Optionsprissättning; Binomialmodellen; Korgoption; Deltaneutralitet; Dataanalys;

   Sammanfattning : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. LÄS MER

4. 3. Estimating Marketability Discounts in Sale Restricted Options Using Compound Option Pricing Theory

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Andreas Bengtsson; [2020-07-07]
   Nyckelord :;

   Sammanfattning : This thesis presents a method for estimating the discount for lack of marketability (DLOM) in call options which are restricted for sale. The DLOM is modeled as a put option on the restricted call option, known as a compound option, with two different approaches towards setting the strike price of the compound option. LÄS MER

5. 4. How Well Does Implied Volatility Predict Future Stock Index Returns and Volatility? : A Study of Option-Implied Volatility Derived from OMXS30 Index Options

   Kandidat-uppsats, Stockholms universitet/Företagsekonomiska institutionen

   Författare :Sara Vikberg; Julia Björkman; [2020]
   Nyckelord :Implied volatility;

   Sammanfattning : The purpose of this thesis is to study if and how well implied volatility can predict realised volatility and returns on the OMXS30 index one month in the future. The findings are put in relation to how historical volatility can predict realised volatility and how changes in implied volatility can predict returns. LÄS MER

7. 5. Option Pricing on Levy Based Markets

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

   Författare :Rafael Velasquez; [2020]
   Nyckelord :;

   Sammanfattning :   The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options. LÄS MER