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Showing result 1 - 5 of 6 essays matching the above criteria.

  1. 1. 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

  3. 2. Index replication within Corporate Investment Grade - With implementation of Lasso regression in order to analyze the impact of key figures

    University essay from KTH/Matematik (Avd.)

    Author : Shaida Faiqi; [2021]
    Keywords : Lasso Regression; Linear Programming; Index Tracking; Lasso regression; linjär programmering; index replikering;

    Abstract : The fixed income market is not as exploited as other markets and has a more complex structure compared with the equity market. On the other hand, it has been seen that demand for research for the fixed income market has increased, which in turn has created greater interest in studying the characteristics of holdings in the market. READ MORE

  4. 3. CEO Incentives and firm risk: in the context of cross-listing

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : William Lennartsson; Harley Ljungdahl; [2019]
    Keywords : CEO compensation; CEO incentives; Stock options; Firm risk; Black-Scholes; Delta; Vega; Agency Theory; Business and Economics;

    Abstract : This research aims to investigate the relation of CEO compensation, especially how the sensitivity of CEO wealth to stock return volatility (vega), but also how the sensitivity of CEO wealth to stock price (delta) affects the risk of the firm. Moreover, these relations are investigated in the context of cross-listing to examine whether there are differences between US-only listed firms and those that are dual listed. READ MORE

  5. 4. Production and processability for future square shank tool holders

    University essay from Luleå tekniska universitet/Institutionen för teknikvetenskap och matematik

    Author : Filip Rudbratt; Martin Wretlind; [2018]
    Keywords : Production; Processability; Tool holder;

    Abstract : The square shank tool holder is one of Sandvik Coromants most common products. The tool holder has been manufactured the same way for 25 years without changing tolerances. However, it is predicted that tighter tolerances will be required in the future to maintain competitiveness. READ MORE

  6. 5. Interest Rate Risk – Using Benchmark Shifts in a Multi Hierarchy Paradigm

    University essay from KTH/Matematisk statistik

    Author : Takeo Murase; [2013]
    Keywords : ;

    Abstract : This master thesis investigates the generic benchmark approach to measuring interest rate risk. First the background and market situation is described followed by an outline of the concept and meaning of measuring interest rate risk with generic benchmarks. READ MORE