Essays about: "Asian Options"

Showing result 6 - 10 of 27 essays containing the words Asian Options.

  1. 6. 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

  3. 7. Pricing of European and Asian options with Monte Carlo simulations : Variance reduction and low-discrepancy techniques

    University essay from Umeå universitet/Nationalekonomi

    Author : Alexander Ramström; [2017]
    Keywords : ;

    Abstract : This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when changing parameter values and the number of simulations. By simulating the asset movements thousands of times and use well established theory one can approximate the price of one-year financialoptions and for the European options also compare them to the price from Black-Scholes exact pricing formula. READ MORE

  4. 8. Information content and pricing of options a jump-diffusion setting

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Kristaps Vasiljevs; [2016]
    Keywords : Merton jump-diffusion model; Calibration; Asian option; Oil; Pricing;

    Abstract : It is believed that information that is incorporated within market prices is accurate and useful. To evaluate this, I, first of all, calibrate the Merton jump-diffusion model to oil options over the period from 2009 to 2015. I show that the retrieved parameters capture market events properly and appropriately. READ MORE

  5. 9. Model risk quantification in option pricing

    University essay from Lunds universitet/Matematisk statistik

    Author : Michael Montag; Fredrik Persson; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : This thesis investigates a methodology for quantification of model risk in option pricing. A set of different pricing models is specified and each model is assigned a probability weight based on the Akaike Information Criteria. It is then possible to obtain a price distribution of an exotic derivative from these probability weights. READ MORE

  6. 10. Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach

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

    Author : David Radeschnig; [2015]
    Keywords : Implied Volatility; American-Asian Options; Quasi-Monte Carlo; Simulations; Weak Law of Large Numbers; K-Fold Cross Validation Test; Non-Parametic Kruskal-Wallis Test; Least Squares Approximation; Regression Tree; Pricing American Options;

    Abstract : This report focus upon implied volatility for American styled Asian options, and a least squares approximation method as a way of estimating its magnitude. Asian option prices are calculated/approximated based on Quasi-Monte Carlo simulations and least squares regression, where a known volatility is being used as input. READ MORE