Essays about: "black scholes option pricing"

Showing result 6 - 10 of 67 essays containing the words black scholes option pricing.

  1. 6. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models

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

    Author : Mara Kalicanin Dimitrov; [2022]
    Keywords : Almost Exact Scheme; Monte Carlo; Bermudan Options; Least Squares Monte Carlo; CIR; Heston Model; Double Heston Model; Stochastic Volatility;

    Abstract : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. READ MORE

  3. 7. How Do Traditional Models for Option Valuation Perform When Applied to Cryptocurrency Options?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Elisabeth Molin; [2022]
    Keywords : Heston; Black-Scholes; Cryptocurrency; Ethereum; Bitcoin; Business and Economics;

    Abstract : The market for cryptocurrencies has been known to be volatile with an asymmetrical return distribution where occasional extreme returns appear. In later years options have been introduced on the asset; but due to the characteristics of cryptocurrency returns, researchers have found it troublesome to value these options. READ MORE

  4. 8. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function

    University essay from Lunds universitet/Matematisk statistik

    Author : Olle Ottander; Fredrik Lindstedt; [2022]
    Keywords : Option; American Option; Monte-Carlo; Least-Square; Black-Scholes; Merton; Finite Moment Log Stable; FMLS; Heston; Expected Continuation Value; Mathematics and Statistics;

    Abstract : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. READ MORE

  5. 9. 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

  6. 10. Option Modelling by Deep Learning

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Niclas Klausson; Victor Tisell; [2021-02-10]
    Keywords : Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Abstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE