Essays about: "Black Scholes"

Showing result 11 - 15 of 122 essays containing the words Black Scholes.

  1. 11. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

    University essay from Lunds universitet/Matematisk statistik

    Author : Oscar Brink Bolin; Joel Ahnvik; [2022]
    Keywords : Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

    Abstract : 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

  3. 12. Option Modelling by Deep Learning

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Niclas Klausson; Victor Tisell; [2021-02-10]
    Keywords : Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Abstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE

  4. 13. Deterministic Quadrature Formulae for the Black–Scholes Model

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

    Author : Sajedeh Saadat; Timo Kudljakov; [2021]
    Keywords : Deterministic quadrature formulae; Stochastic differential equation; Black--Scholes model; Discretization method.;

    Abstract : There exist many numerical methods for numerical solutions of the systems of stochastic differential equations. We choose the method of deterministic quadrature formulae proposed by Müller–Gronbach, and Yaroslavtseva in 2016. The idea is to apply a simplified version of the cubature in Wiener space. READ MORE

  5. 14. Pricing Complex derivatives under the Heston model

    University essay from KTH/Matematik (Avd.)

    Author : Omar Naim; [2021]
    Keywords : Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

    Abstract : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. READ MORE

  6. 15. Fourth-Order Runge-Kutta Method for Generalized Black-Scholes Partial Differential Equations

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

    Author : Sidra Tajammal; [2021]
    Keywords : Generalized Black-Scholes partial differential equations; Finite difference methods; Fourth-Order Runge-Kutta method; Stability and Convergence;

    Abstract : The famous Black-Scholes partial differential equation is one of the most widely used and researched equations in modern financial engineering to address the complex evaluations in the financial markets. This thesis investigates a numerical technique, using a fourth-order discretization in time and space, to solve a generalized version of the classical Black-Scholes partial differential equation. READ MORE