Essays about: "Merton model"
Showing result 16 - 20 of 61 essays containing the words Merton model.
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16. Option Pricing using the Fast Fourier Transform Method
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. READ MORE
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17. 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 statistikAbstract : 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
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18. Does Quality Matter?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. READ MORE
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19. Optimal financial resources for Central Counterparties: Introducing default dependence of clearing members: a mixed binomial approach
University essay from Göteborgs universitet/Graduate SchoolAbstract : Central counterparties (CCPs) are ˝nancial intermediaries consisting of clearing members trading ˝nancial derivatives between each other. In a ˝nancial network, CCPs become the buyer to every seller and the seller to every buyer. READ MORE
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20. A Utility Approach: Strategy Analysis and Optimization
University essay from Lunds universitet/Matematisk statistikAbstract : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. READ MORE