Sökning: "option pricing"

Visar resultat 21 - 25 av 240 uppsatser innehållade orden option pricing.

  1. 21. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Joel Forsberg; [2022]
    Nyckelord :Swaptions; Clearinghouse; Compression; Interest rate swap;

    Sammanfattning : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. LÄS MER

  3. 22. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models

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

    Författare :Mara Kalicanin Dimitrov; [2022]
    Nyckelord :Almost Exact Scheme; Monte Carlo; Bermudan Options; Least Squares Monte Carlo; CIR; Heston Model; Double Heston Model; Stochastic Volatility;

    Sammanfattning : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. LÄS MER

  4. 23. How Do Traditional Models for Option Valuation Perform When Applied to Cryptocurrency Options?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Elisabeth Molin; [2022]
    Nyckelord :Heston; Black-Scholes; Cryptocurrency; Ethereum; Bitcoin; Business and Economics;

    Sammanfattning : The market for cryptocurrencies has been known to be volatile with an asymmetrical return distribution where occasional extreme returns appear. In later years options have been introduced on the asset; but due to the characteristics of cryptocurrency returns, researchers have found it troublesome to value these options. LÄS MER

  5. 24. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Olle Ottander; Fredrik Lindstedt; [2022]
    Nyckelord :Option; American Option; Monte-Carlo; Least-Square; Black-Scholes; Merton; Finite Moment Log Stable; FMLS; Heston; Expected Continuation Value; Mathematics and Statistics;

    Sammanfattning : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. LÄS MER

  7. 25. 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