Essays about: "Black–Scholes model"

Found 2 essays containing the words Black–Scholes model.

1. 1. Finite Difference Methods for the Black-Scholes Equation

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

   Author : Asima Parveen Saleemi; [2020]
   Keywords : Option pricing; Generalised Black-Scholes model; Finite difference methods; Stability; Convergence; Numerical solution;

   Abstract : Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. READ MORE

3. 2. The performance of GARCH option pricing models : An empirical study on Swedish OMXS30 call options

   University essay from IHH, Economics, Finance and Statistics

   Author : Donald Harding; [2013]
   Keywords : ;

   Abstract : The purpose of this thesis is to examine the properties for different specifications of the HestonNandi GARCH option pricing model and the pricing performance on european Swedish OMXS30 call options. The sample consists of a total of 2467 options (both in-sample and out-of-sample) for 2011 and 2012, which are priced with three specifications of the HestonNandi-GARCH model and then compared to the pricing performance of the BlackScholes model. READ MORE