Essays about: "Basket-option"
Showing result 1 - 5 of 9 essays containing the word Basket-option.
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1. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model
University essay from KTH/Matematisk statistikAbstract : 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
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2. Combinatorial and price efficient optimization of the underlying assets in basket options
University essay from KTH/Optimeringslära och systemteoriAbstract : The purpose of this thesis is to develop an optimization model that chooses the optimal and price efficient combination of underlying assets for a equally weighted basket option. To obtain a price efficient combination of underlying assets a function that calculates the basket option price is needed, for further use in an optimization model. READ MORE
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3. Randomized Quasi-Monte Carlo Simulations for Basket Option Pricing where underlying assets follow a Time-Changed Meixner Levy Process
University essay from Lunds universitet/Matematisk statistikAbstract : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can oer both insurance and leverage and for a more risk-loving investor they can be used as speculation. READ MORE
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4. Randomized Quasi-Monte Carlo Methods for Basket Option Pricing Where Underlying Assets Follow a Time-Changed Meixner Lévy Process
University essay from Lunds universitet/Matematisk statistikAbstract : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can offer both insurance and leverage and for a more risk-loving investor they can be used as speculation. READ MORE
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5. Evaluation of analytical approximations of two-asset basket option price
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis applies the decomposition suggested by Alexander and Venkatramanan (2012) to the pay-off of a basket option of two assets with a non-zero strike to derive an approximate price of corresponding basket option. The decomposition yields two sub-baskets and a situation where sub-strikes must be chosen. READ MORE