Essays about: "Black Scholes"
Showing result 16 - 20 of 122 essays containing the words Black Scholes.
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16. Option pricing under Black-Scholes model using stochastic Runge-Kutta method.
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : The purpose of this paper is solving the European option pricing problem under the Black–Scholes model. Our approach is to use the so-called stochastic Runge–Kutta (SRK) numericalscheme to find the corresponding expectation of the functional to the stochastic differentialequation under the Black–Scholes model. READ MORE
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17. Heston vs Black Scholes stock price modelling
University essay from Linnéuniversitetet/Institutionen för matematik (MA)Abstract : In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. READ MORE
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18. Volatility Curves of Incomplete Markets
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were perfectly described by the Black-Scholes model, the implied volatility would be independent of the strike price and thus the volatility curve would be a at horizontal line. READ MORE
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19. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces
University essay from KTH/Matematisk statistikAbstract : 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
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20. 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