Essays about: "Bates Model"

Showing result 1 - 5 of 13 essays containing the words Bates Model.

1. 1. Artificial Intelligence for Option Pricing

   University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

   Author : Emil Hietanen; [2022-06-19]
   Keywords : Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

   Abstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE

3. 2. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

   University essay from Lunds universitet/Matematisk statistik

   Author : Oscar Brink Bolin; Joel Ahnvik; [2022]
   Keywords : Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

   Abstract : 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. READ MORE

4. 3. Pricing Currency Options with Bates Model: Analytical Tractability versus Empirical Misspeci cation

   University essay from Göteborgs universitet/Graduate School

   Author : Oscar Thelander; [2021-02-02]
   Keywords : ;

   Abstract : In this thesis I complement the results from Bates (1996) wherein a Stochastic Volatility Jump-Di usion model for pricing foreign currency options is introduced and evaluated against USD/DM foreign exchange options. I complement Bates results with two di erent calibration methodologies, nonlinear least-squares and the built-in MATLAB function fmincon, using the same dataset that was used in Bates (1996). READ MORE

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

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

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

   Abstract : 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. READ MORE

6. 5. Pricing of a balance sheet option limited by a minimum solvency boundary

   University essay from KTH/Matematisk statistik

   Author : Josefine Bofeldt; Sara Joon; [2019]
   Keywords : ;

   Abstract : Pension companies are required by law to remain above a certain solvency level. The main purpose of this thesis is to determine the cost of remaining above a lower solvency level for different pension companies. This will be modelled by an option with a balance sheet as the underlying asset. READ MORE