Sökning: "option pricing"

Visar resultat 11 - 15 av 240 uppsatser innehållade orden option pricing.

1. 11. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation

   Master-uppsats, Uppsala universitet/Analys och partiella differentialekvationer

   Författare :Mohammed Moniruzzaman Khan; [2023]
   Nyckelord :;

   Sammanfattning : This thesis aims at evaluating and implementing Longstaff & Schwarz approach for approximating the value of American options. American options are generally hard to value, exercised at any time up to its expiration and moreover, there is no closed- form solution for an American option’s price. LÄS MER

3. 12. Geometric Brownian Motion Option Pricing Model for Professional Football Contracts

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Dennis Markovic; Emil Schough; [2023]
   Nyckelord :Geometric Brownian motion; Football; Investment analysis; Real options;

   Sammanfattning : In recent years, the valuation of football players has gained significant attention, especially in the context of their transfer value in the market. Our investigation explores the application of a Geometric Brownian Motion option pricing model to estimate the transfer value of football players, considering the option-like characteristics of player contracts. LÄS MER

4. 13. Exploring backward stochastic differential equations and deep learning for high-dimensional partial differential equations and European option pricing

   Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Författare :Jonathan Leung; [2023]
   Nyckelord :Backward Stochastic Differential Equations; Semilinear Parabolic Partial Differential Equations; Artificial Neural Networks; Nonlinear Option Pricing; Black-Scholes; Nonlinear Feynman-Kac; Euler-Maruyama;

   Sammanfattning : Many phenomena in our world can be described as differential equations in high dimensions. However, they are notoriously challenging to solve numerically due to the exponential growth in computational cost with increasing dimensions. LÄS MER

5. 14. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

   Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Författare :Nicolas Kuiper; Martin Westberg; [2023]
   Nyckelord :Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

   Sammanfattning : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. LÄS MER

7. 15. Techno-economic analysis of innovative storage power plants utilizing existing CCGT systems : An Austrian case study

   Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

   Författare :Niklas Pöcklhofer; Philipp Sares; [2023]
   Nyckelord :Innovative storage power plants; sector coupling; existing infrastructure; CCGT; hydrogen-fired gas turbine; hydrogen; hybridized energy system; techno-economic analysis; sustainability; Innovativa lagringskraftverk; sektorkoppling; befintlig infrastruktur; CCGT; vätgaseldad gasturbin; vätgas; hybridiserat energisystem; teknisk-ekonomisk analys; hållbarhet;

   Sammanfattning : Efforts to mitigate climate change and current geopolitical disruptions have revealed that changes to the existing energy system are urgently required to offer sustainable and secure energy for Europe. Hence, the role of conventional thermal power plants is being challenged and new technologies providing additional functionality for the power grid are pushing into the market. LÄS MER