Essays about: "Black-76"
Found 4 essays containing the word Black-76.
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1. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
University essay from Lunds universitet/Matematisk statistikAbstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE
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2. Pricing Interest Rate Derivatives in a Negative Yield Environment
University essay from Göteborgs universitet/Graduate SchoolAbstract : The main purpose of this thesis is to price interest rate derivatives in the today negative yield environment. The plain vanilla interest rate derivatives have now negative strikes and negative values of the underlying asset, the forward rate. READ MORE
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3. Pricing Options on the Nordic Power Exchange Nord Pool
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis studies the options traded at the Nordic power market Nord Pool, which are written on yearly and quarterly forward contracts. The most widely used pricing model at the market is Black 76, a model that assumes the option’s underlying variable to be log-normally distributed, and volatility to be constant over time. READ MORE
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4. Optimal Hedging Strategies for OMX Option Portfolios: A Study of Different Strategies for Option Hedging Using the Greeks
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The option markets have developed substantially during the past decades ever since the construction of a pricing model for options. After the model had been constructed tools for hedging were gradually developed, usually collectively referred to as the Greeks. READ MORE