Essays about: "non linear Black-Scholes"

Found 5 essays containing the words non linear Black-Scholes.

  1. 1. Artificial Intelligence for Option Pricing

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Emil Hietanen; [2022-06-19]
    Keywords : Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

    Abstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE

  3. 2. 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

  4. 3. Risk Arbitrage in the Swedish Market – Evaluation with Contingent Claims

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Markus Drott; [2011]
    Keywords : arbitrage; contingent claims; merger arbitrage; non-linear returns; risk arbitrage; Business and Economics;

    Abstract : The thesis analyses a risk arbitrage portfolio in Swedish equities over 2611 trading days (132 months), to evaluate the ability of a risk arbitrage strategy to generate excess returns, alpha, in the Swedish market. It is found that risk arbitrage generates a significant alpha of 120 basis points per month, in a linear model and assuming CAPM holds. READ MORE

  5. 4. Option pricing with transaction costs and a non-linear Black-Scholes equation

    University essay from Matematiska institutionen

    Author : Bernard Mawah; [2007]
    Keywords : ;

    Abstract : .... READ MORE

  6. 5. The fair price evaluation problem in illiquid markets : a Lie group analysis of a nonlinear model

    University essay from Högskolan i Halmstad

    Author : Maxim Bobrov; []
    Keywords : illiquid markets; Lie group analysis;

    Abstract : We consider one transaction costs model which was suggested by Cetin, Jarrow and Protter (2004) for an illiquid market. In this case the hedging strategy of programming traders can affect the assets prises. We study the corresponding partial differential equation (PDE) which is a non-linear Black-Scholes equation for illiquid markets. READ MORE