Essays about: "Black-Scholes"

Showing result 11 - 15 of 104 essays containing the word Black-Scholes.

  1. 11. 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

  3. 12. 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

  4. 13. 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

  5. 14. 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

  6. 15. Option pricing under Black-Scholes model using stochastic Runge-Kutta method.

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

    Author : Ali Saleh; Ahmad Al-Kadri; [2021]
    Keywords : Runge–Kutta methods; Black–Scholes model; Monte Carlo simulation.;

    Abstract : 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