Essays about: "black scholes option pricing"

Showing result 16 - 20 of 67 essays containing the words black scholes option pricing.

  1. 16. Option Pricing on Levy Based Markets

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

    Author : Rafael Velasquez; [2020]
    Keywords : ;

    Abstract :   The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options. READ MORE

  3. 17. Option Pricing using the Fast Fourier Transform Method

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Abaynesh Berta; [2020]
    Keywords : Black-Scholes-Merton model; Characteristic function; Fast Fourier transform; Fourier Inverse Fourier transform; Option pricing;

    Abstract : 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

  4. 18. 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

  5. 19. Option Pricing Under the Markov-switching Framework Defined by Three States

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Minna Castoe; Teo Raspudic; [2020]
    Keywords : Option pricing; Markov-switching framework; Markov chain; Stochastic volatility Monte carlo simulation;

    Abstract : An exact solution for the valuation of the options of the European style can be obtained using the Black-Scholes model. However, some of the limitations of the Black-Scholes model are said to be inconsistent such as the constant volatility of the stock price which is not the case in real life. READ MORE

  6. 20. Stress-testing of the Russian Banking Sector: Contingent Claims Analysis Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anna Kulakova; [2019]
    Keywords : credit risk; stress-testing; contingent claims analysis; Merton model; vector autoregression; Business and Economics;

    Abstract : This study aims to perform stress-testing of the Russian banking sector with a focus on credit risk measures derived by using contingent claims analysis, an extension of Black-Scholes and Merton option pricing theory. Risk exposure indicators are linked to a number of macroeconomic variables that describe global and domestic economic and financial development. READ MORE