Essays about: "Option pricing theory"

Showing result 1 - 5 of 36 essays containing the words Option pricing theory.

1. 1. Exploring backward stochastic differential equations and deep learning for high-dimensional partial differential equations and European option pricing

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

   Author : Jonathan Leung; [2023]
   Keywords : Backward Stochastic Differential Equations; Semilinear Parabolic Partial Differential Equations; Artificial Neural Networks; Nonlinear Option Pricing; Black-Scholes; Nonlinear Feynman-Kac; Euler-Maruyama;

   Abstract : Many phenomena in our world can be described as differential equations in high dimensions. However, they are notoriously challenging to solve numerically due to the exponential growth in computational cost with increasing dimensions. READ MORE

3. 2. Artificial Intelligence for Option Pricing

   University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

   Author : Emil Hietanen; [2022-06-19]
   Keywords : Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

   Abstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE

4. 3. 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

5. 4. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

   University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Author : Fredrik Gerdin Börjesson; [2021]
   Keywords : Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

   Abstract : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. READ MORE

6. 5. Estimating Marketability Discounts in Sale Restricted Options Using Compound Option Pricing Theory

   University essay from Göteborgs universitet/Graduate School

   Author : Andreas Bengtsson; [2020-07-07]
   Keywords : ;

   Abstract : This thesis presents a method for estimating the discount for lack of marketability (DLOM) in call options which are restricted for sale. The DLOM is modeled as a put option on the restricted call option, known as a compound option, with two different approaches towards setting the strike price of the compound option. READ MORE