Essays about: "Black- Derman-Toy"

Found 2 essays containing the words Black- Derman-Toy.

  1. 1. Investigation of portfolio strategies by means of simulation

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Alexander Schälin; [2022-07-01]
    Keywords : Constant proportion portfolio insurance; Option based portfolio insurance; Irrational fraction brownian motion; Constant elasticity of variance; Ho-Lee; Black- Derman-Toy;

    Abstract : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. READ MORE

  3. 2. Interest rate derivatives: Pricing of Euro-Bund options : An empirical study of the Black Derman & Toy model (1990)

    University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

    Author : Petter Damberg; Alexander Gullnäs; [2012]
    Keywords : Interest rate derivatives; Term structure models; Black Derman Toy; Option pricing; Binomial trees; Term structure of interest rates;

    Abstract : The market for interest rate derivatives has in recent decades grown considerably and the need for proper valuation models has increased. Interest rate derivatives are instruments that in some way are contingent on interest rates such as bonds and swaps and most financial transactions are in some way exposed to interest rate risk. READ MORE