Essays about: "Binomial Option Pricing Model"

Showing result 1 - 5 of 14 essays containing the words Binomial Option Pricing Model.

  1. 1. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model

    University essay from KTH/Matematisk statistik

    Author : Robin Nordström; Sepand Tabari; [2021]
    Keywords : Applied Mathematics; Financial Mathematics; Option Pricing; Binomial Option Pricing Model; Basket Option; Delta Neutrality; Data Analysis; Tillämpad Matematik; Finansiell Matematik; Optionsprissättning; Binomialmodellen; Korgoption; Deltaneutralitet; Dataanalys;

    Abstract : 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

  3. 2. Option pricing in the binomial model

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Jasmine Vestman; [2021]
    Keywords : ;

    Abstract : .... READ MORE

  4. 3. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility

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

    Author : Danny Zina; [2020]
    Keywords : Pricing American Options; Early Exercise Boundary; Markov-Modulated Volatility; Switching-State Volatility; Extended CRR Model.;

    Abstract : The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. READ MORE

  5. 4. Optimizing the Number of Time-steps Used in Option Pricing

    University essay from Linköpings universitet/Institutionen för datavetenskap

    Author : Hugo Lewenhaupt; [2019]
    Keywords : Option pricing; binomial trees; machine learning; deep learning; discretization methods; optimization; recombinant tree; convergence;

    Abstract : Calculating the price of an option commonly uses numerical methods and can becomputationally heavy. In general, longer computations result in a more precisresult. As such, improving existing models or creating new models have been thefocus in the research field. READ MORE

  6. 5. American Option Price Approximation for Real-Time Clearing

    University essay from Umeå universitet/Institutionen för fysik

    Author : Andreas Blanck; [2018]
    Keywords : Finance; Options; Risk; VaR; Price approximation;

    Abstract : American-style options are contracts traded on financial markets. These are derivatives of some underlying security or securities that in contrast to European-style options allow their holders to exercise at any point before the contracts expire. READ MORE