Essays about: "Asian Options"

Showing result 1 - 5 of 26 essays containing the words Asian Options.

  1. 1. Estimation methods for Asian Quanto Basket options

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

    Author : David Adolfsson; Tom Claesson; [2019]
    Keywords : Monte Carlo simulation; Estimation; Option; Taylor expansion; Sensitivities; Price interpolation; Grid;

    Abstract : All financial institutions that provide options to counterparties will in most cases get involved withMonte Carlo simulations. Options with a payoff function that depends on asset’s value at differenttime points over its lifespan are so called path dependent options. READ MORE

  2. 2. An introduction to Multilevel Monte Carlo with applications to options.

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

    Author : Kristofer Cronvald; [2019]
    Keywords : Multilevel Monte Carlo; Options; Mathematical finance; Simulation; Stochastic Differential Equations; Computational complexity; Strong convergence; Weak convergence; Euler-Maruyama; Milstein.;

    Abstract : A standard problem in mathematical finance is the calculation of the price of some financial derivative such as various types of options. Since there exists analytical solutions in only a few cases it will often boil down to estimating the price with Monte Carlo simulation in conjunction with some numerical discretization scheme. READ MORE

  3. 3. Classification of Financial Instruments

    University essay from KTH/Matematisk statistik

    Author : Andreas Lindberg; [2019]
    Keywords : IFRS; Financial instruments; Classification; Fair value; Fair value hierarchy; Autocall; Swap; European option; Asian option; Implied volatility; Correlation; Market activity; Interest rates;

    Abstract : In this thesis a general framework and accompanying guidelines for how to classify financial instruments within the fair value hierarchy (included within IFRS 13) is presented. IFRS 13 introduces a broad and loosely defined regulation of how to classify a financial instrument which leaves room for misinterpretation and uncertainties. READ MORE

  4. 4. Pricing of European- and American-style Asian Options using the Finite Element Method

    University essay from Umeå universitet/Institutionen för fysik

    Author : Jesper Karlsson; [2018]
    Keywords : Option pricing; finite element; streamline-diffusion; penalty method; projected successive over-relaxation; Asian options; American-style Asian options; Eurasian options; Amerasian options;

    Abstract : An option is a contract between two parties where the holder has the option to buy or sell some underlying asset after a predefined exercise time. Options where the holder only has the right to buy or sell at the exercise time is said to be of European-style, while options that can be exercised any time before the exercise time is said to be of American-style. READ MORE

  5. 5. Open Source Energy Model for the Electricity Sector of Sri Lanka

    University essay from KTH/Energiteknik

    Author : T.L.B. Attanayaka; [2018]
    Keywords : ;

    Abstract : A long term generation expansion model for the electricity sector of Sri Lanka was developed in this thesis. The model provides the least cost development pathways to cater the future electricity demand within the user defined constraints that need to be adhered. READ MORE