Essays about: "Monte Carlo option pricing"

Showing result 1 - 5 of 58 essays containing the words Monte Carlo option pricing.

  1. 1. Covered Call on an Index - A Comparative Study of Two Strategies

    University essay from Göteborgs universitet/Graduate School

    Author : Karin Carlsson; [2023-06-29]
    Keywords : Index Options; Covered Calls; Monte Carlo; Utility;

    Abstract : This thesis undertakes a comparative analysis of two ways of performing a covered call strategy on a dual asset index. The distinguishing factor between the two approaches pertains to the writing of the call options, where one approach involves writing the call option on the entire index, while the other involves writing options on each asset within the index separately. READ MORE

  3. 2. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Samuel Rosén; [2023]
    Keywords : HQH; Heston Queue Hawkes; Option Pricing; jump diffusion;

    Abstract : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. READ MORE

  4. 3. Credit Exposure Modelling Using Differential Machine Learning

    University essay from Lunds universitet/Matematisk statistik

    Author : Måns Karp; Samuel Wagner; [2023]
    Keywords : Counterparty credit risk; Differential machine learning; Exposure modelling; Heston model; Option pricing; Mathematics and Statistics;

    Abstract : Exposure modelling is a critical aspect of managing counterparty credit risk, and banks worldwide invest significant time and computational resources in this task. One approach to modelling exposure involves pricing trades with a counterparty in numerous potential future market scenarios. READ MORE

  5. 4. Option pricing with Quadratic Rough Heston Model

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Marina Dushkina; [2023]
    Keywords : option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

    Abstract : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. READ MORE

  6. 5. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

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

    Author : Nicolas Kuiper; Martin Westberg; [2023]
    Keywords : Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

    Abstract : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. READ MORE