Essays about: "Option pricing"

Showing result 1 - 5 of 224 essays containing the words 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. There Is Nothing Certain But The Uncertain

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Hannes Thorstensson; Carl Tjernberg; [2023]
   Keywords : Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

   Abstract : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. READ MORE

5. 4. Risk Assessment of Digital Assets – Insurance Applications in Cryptocurrencies and NFTs

   University essay from Lunds universitet/Institutionen för elektro- och informationsteknik

   Author : Roberto Delgado Ferrezuelo; [2023]
   Keywords : Blockchain; NFTs; private key; phishing; floor price; rarity; cold wallet; hot wallet; risk premium; Technology and Engineering;

   Abstract : The aim of the project is to develop a framework for an insurance policy for digital assets. The project comprised several stages, starting with the identification of risks associated with these assets. Policyholders were then categorized into two groups based on a predefined rating factor. READ MORE

6. 5. 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