Essays about: "Black Scholes"

Showing result 1 - 5 of 102 essays containing the words Black Scholes.

  1. 1. Volatility Curves of Incomplete Markets

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Kateryna Chechelnytska; [2020-06-23]
    Keywords : Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

    Abstract : The graph of the implied volatility of call options as a function of the strike priceis called volatility curve. If the options market were perfectly described by theBlack-Scholes model, the implied volatility would be independent of the strike priceand thus the volatility curve would be a at horizontal line. READ MORE

  2. 2. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Christopher Herron; André Zachrisson; [2020]
    Keywords : Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

    Abstract : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. READ MORE

  3. 3. Implied volatility expansion under the generalized Heston model

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

    Author : Hanna Andersson; Ying Wang; [2020]
    Keywords : Heston model; Generalized Heston model; implied volatility; implied volatility expansion; Black–Scholes; Monte Carlo method; European options;

    Abstract : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. READ MORE

  4. 4. 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

  5. 5. Optimization of option pricing : - Variance reduction and low-discrepancy techniques

    University essay from Umeå universitet/Företagsekonomi

    Author : Julia Larsson; [2020]
    Keywords : ;

    Abstract : In recent years, the importance and the interest in financial instrument especially derivatives have increased. The Nobel Prize in Economics 1997 was dedicated to Black & Scholes for their work with finding a new method that estimates option prices for Plain Vanilla Options. READ MORE