Essays about: "hedge risk in option"

Showing result 1 - 5 of 16 essays containing the words hedge risk in option.

1. 1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

   University essay from KTH/Matematik (Avd.)

   Author : Albin Irell Fridlund; Johanna Heberlein; [2023]
   Keywords : Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

   Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE

3. 2. 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

4. 3. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model

   University essay from KTH/Matematisk statistik

   Author : Robin Nordström; Sepand Tabari; [2021]
   Keywords : Applied Mathematics; Financial Mathematics; Option Pricing; Binomial Option Pricing Model; Basket Option; Delta Neutrality; Data Analysis; Tillämpad Matematik; Finansiell Matematik; Optionsprissättning; Binomialmodellen; Korgoption; Deltaneutralitet; Dataanalys;

   Abstract : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. READ MORE

5. 4. Option Pricing using Artificial Neural Networks

   University essay from Lunds universitet/Beräkningsbiologi och biologisk fysik - Genomgår omorganisation

   Author : Jan Müller; [2021]
   Keywords : Physics and Astronomy;

   Abstract : Neural networks have an increasingly important role in the financial market, by offering a solution to stationarity and non-linearity whilst also providing robustness and predictive power. Options and option pricing are a fundamental area of interest in the daily activities of investment banks, hedge funds and trading firms in the financial market. READ MORE

6. 5. Deep Learning and the Heston Model:Calibration & Hedging

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
   Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

   Abstract : The computational speedup of computers has been one of the de ning characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. READ MORE