Essays about: "CIR model"

Showing result 1 - 5 of 20 essays containing the words CIR model.

  1. 1. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models

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

    Author : Mara Kalicanin Dimitrov; [2022]
    Keywords : Almost Exact Scheme; Monte Carlo; Bermudan Options; Least Squares Monte Carlo; CIR; Heston Model; Double Heston Model; Stochastic Volatility;

    Abstract : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. READ MORE

  3. 2. Current Business Models in Lithium Exploration

    University essay from Uppsala universitet/Institutionen för geovetenskaper

    Author : Martha Henderson; [2022]
    Keywords : lithium; mineral exploration; business models; mining; innovation; content analysis;

    Abstract : The world is facing the challenge of transforming from fossil fuel dependant to a zero-emission econ-omy. This results in multi-fold mineral requirements for technologies such as wind turbines, solar pan-els, and electric vehicles; an exorbitant amount that cannot be fulfilled by recycling alone. READ MORE

  4. 3. Model for Central Counterparty Risk with Stochastic Default Intensities

    University essay from Göteborgs universitet/Graduate School

    Author : Francesco Marconi; [2021-09-30]
    Keywords : ;

    Abstract : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. READ MORE

  5. 4. Heston vs Black Scholes stock price modelling

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : Ida Bucic; [2021]
    Keywords : Heston model; Black Scholes model; CIR model; Stock price modelling;

    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

  6. 5. Consistent pricing of VIX options

    University essay from Lunds universitet/Matematisk statistik

    Author : Wilhelm Ålander; [2020]
    Keywords : VIX; Option pricing; Fourier methods.; Mathematics and Statistics;

    Abstract : This thesis is an extension from the thesis "To what degree is the VIX benchmark computed by CBOE representative of its definition?" presented on June 16 in 2018. The primary purpose of this thesis is to investigate a consistent way of Fourier pricing with the Heston model and whether or not the estimates can be improved by extending the amount of CIR processes in order to catch the non-linear behavior of VIX options. READ MORE