Sökning: "optionspriser"

Hittade 5 uppsatser innehållade ordet optionspriser.

  1. 1. Pricing in the Heston Model and Its Rough Variation

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Otto Sellerstam; [2021]
    Nyckelord :;

    Sammanfattning : This thesis presents the theoretical material needed to price European call options in the classical and rough version of the Heston model, as well as how to do this in practice from a computational perspective. The theoretical material includes an introduction to measure theory, which is then used to build the foundations of probability theory and stochastic calculus, together with more novel topics such as fractional calculus and a short exposition of the fractional Brownian motion. LÄS MER

  3. 2. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

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

    Författare :Carl Paulin; Maja Lindström; [2020]
    Nyckelord :Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

    Sammanfattning : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. LÄS MER

  4. 3. Modeling implied correlation matrices using option prices

    Master-uppsats, KTH/Matematisk statistik

    Författare :Sofie Eklund; Randa Estaifo; [2018]
    Nyckelord :;

    Sammanfattning : In the process of calculating a fair value it is preferable to price the asset from observable market data. Some assets are valued using variables which can not be directly observed in the market but are instead implied from observable market data. One such variable is the correlation between assets. LÄS MER

  5. 4. Sequential parameter and state learning in continuous time stochastic volatility models using the SMC² algorithm

    Master-uppsats, KTH/Matematisk statistik

    Författare :Victor Tingström; [2015]
    Nyckelord :SMC2; SMC; SV models;

    Sammanfattning : In this Master’s thesis, joint sequential inference of both parameters and states of stochastic volatility models is carried out using the SMC2 algorithm found in SMC2: an efficient algorithm for sequential analysis of state-space models, Nicolas Chopin, Pierre E. Jacob, Omiros Papaspiliopoulos. The models under study are the continuous time s.v. LÄS MER

  7. 5. Hur användbar är den implicita riskneutrala sannolikhetsfördelningen i turbulenta perioder? En studie av svenska val och folkomröstningar.

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sofie Källén; Charlotta Wikman; [2005]
    Nyckelord :riskneutra; sannolikhetsfördelning; optionspriser; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : Denna kandidatuppsats fokuserar på den unika information som finns gömd i optionspriser. Med hjälp av marknads- och teoretiska priser på dessa kan den implicita riskneutrala sannolikhetsfördelningen geräknas, vilken antas vara den sannolikhetsfördelning som aktiepriser följer. LÄS MER