Essays about: "Black Scholes Merton model"
Showing result 1 - 5 of 16 essays containing the words Black Scholes Merton model.
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1. Artificial Intelligence for Option Pricing
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE
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2. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression
University essay from Umeå universitet/Institutionen för fysikAbstract : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. READ MORE
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3. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function
University essay from Lunds universitet/Matematisk statistikAbstract : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. READ MORE
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4. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS
University essay from Lunds universitet/Matematisk statistikAbstract : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. READ MORE
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5. Forecasting Call Option prices : A Quantitative Study in Financial Economics
University essay from Umeå universitet/NationalekonomiAbstract : It is not uncommon that the theoretical price of a model is different from the market price due to various disturbances. The purpose of this study was to analyze how well the original Black-Scholes-Merton model performs accurate forecasts of the option price, where the underlying asset was the NIFTY50 stock index. READ MORE