Essays about: "Black-Scholes"
Showing result 21 - 25 of 104 essays containing the word Black-Scholes.
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21. Finite Difference Methods for the Black-Scholes Equation
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : 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
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22. When to expect decreasing implied volatilities
University essay from Uppsala universitet/Matematiska institutionenAbstract : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. READ MORE
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23. Can we predict future volatility on the OMXS 30? : A quantative study on historical and implied volatility
University essay from Umeå universitet/NationalekonomiAbstract : When making investment decisions risk is a highly important aspect to account for. Many studies have investigated how to measure risk and forecast it for an investment decision. This study takes a closer look at what forecast method is best on the Swedish index OMX Stockholm 30. During the period from January 2016 to December 2018. READ MORE
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24. Option Pricing on Levy Based Markets
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options. READ MORE
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25. Option Pricing using the Fast Fourier Transform Method
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. READ MORE