Sökning: "option pricing model"

Visar resultat 1 - 5 av 145 uppsatser innehållade orden option pricing model.

  1. 1. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Samuel Rosén; [2023]
    Nyckelord :HQH; Heston Queue Hawkes; Option Pricing; jump diffusion;

    Sammanfattning : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. LÄS MER

  3. 2. There Is Nothing Certain But The Uncertain

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hannes Thorstensson; Carl Tjernberg; [2023]
    Nyckelord :Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

    Sammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER

  4. 3. Risk Assessment of Digital Assets – Insurance Applications in Cryptocurrencies and NFTs

    Master-uppsats, Lunds universitet/Institutionen för elektro- och informationsteknik

    Författare :Roberto Delgado Ferrezuelo; [2023]
    Nyckelord :Blockchain; NFTs; private key; phishing; floor price; rarity; cold wallet; hot wallet; risk premium; Technology and Engineering;

    Sammanfattning : The aim of the project is to develop a framework for an insurance policy for digital assets. The project comprised several stages, starting with the identification of risks associated with these assets. Policyholders were then categorized into two groups based on a predefined rating factor. LÄS MER

  5. 4. Credit Exposure Modelling Using Differential Machine Learning

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Måns Karp; Samuel Wagner; [2023]
    Nyckelord :Counterparty credit risk; Differential machine learning; Exposure modelling; Heston model; Option pricing; Mathematics and Statistics;

    Sammanfattning : Exposure modelling is a critical aspect of managing counterparty credit risk, and banks worldwide invest significant time and computational resources in this task. One approach to modelling exposure involves pricing trades with a counterparty in numerous potential future market scenarios. LÄS MER

  7. 5. Option pricing with Quadratic Rough Heston Model

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Marina Dushkina; [2023]
    Nyckelord :option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

    Sammanfattning : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. LÄS MER