Sökning: "option pricing"

Visar resultat 1 - 5 av 196 uppsatser innehållade orden option pricing.

  1. 1. 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 : MSc in Finance.... LÄS MER

  2. 2. Deep Learning and the Heston Model:Calibration & Hedging

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Nyckelord :deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Sammanfattning : The computational speedup of computers has been one of the de ning characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. LÄS MER

  3. 3. Volatility Curves of Incomplete Markets

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Kateryna Chechelnytska; [2020-06-23]
    Nyckelord :Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

    Sammanfattning : The graph of the implied volatility of call options as a function of the strike priceis called volatility curve. If the options market were perfectly described by theBlack-Scholes model, the implied volatility would be independent of the strike priceand thus the volatility curve would be a at horizontal line. LÄS MER

  4. 4. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility

    Uppsats för yrkesexamina på grundnivå, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Danny Zina; [2020]
    Nyckelord :Pricing American Options; Early Exercise Boundary; Markov-Modulated Volatility; Switching-State Volatility; Extended CRR Model.;

    Sammanfattning : The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. LÄS MER

  5. 5. A Comparison between Approximations of Option Pricing Models and Risk-Neutral Densities using Hermite Polynomials

    Master-uppsats, Uppsala universitet/Tillämpad matematik och statistik

    Författare :Nathaniel Ahy; [2020]
    Nyckelord :;

    Sammanfattning : .... LÄS MER