Essays about: "Options Valuation"

Showing result 1 - 5 of 53 essays containing the words Options Valuation.

  1. 1. Geometric Brownian Motion Option Pricing Model for Professional Football Contracts

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dennis Markovic; Emil Schough; [2023]
    Keywords : Geometric Brownian motion; Football; Investment analysis; Real options;

    Abstract : In recent years, the valuation of football players has gained significant attention, especially in the context of their transfer value in the market. Our investigation explores the application of a Geometric Brownian Motion option pricing model to estimate the transfer value of football players, considering the option-like characteristics of player contracts. READ MORE

  3. 2. 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

  4. 3. HR options and their valuation – a case study

    University essay from KTH/Fastighetsekonomi och finans

    Author : Stefanos Nalmpantis; [2022]
    Keywords : Human Resources Options; Human Capital; Real Option Valuation; Personaloptioner; Humankapital; Real Optionsvärdering;

    Abstract : This thesis introduces and discusses the notion that real options theory can be applied to investment decisions when the value lies in human capital. This approach contributes in circumventing traditional problems which arise during valuation of intangible assets. READ MORE

  5. 4. How Do Traditional Models for Option Valuation Perform When Applied to Cryptocurrency Options?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Elisabeth Molin; [2022]
    Keywords : Heston; Black-Scholes; Cryptocurrency; Ethereum; Bitcoin; Business and Economics;

    Abstract : The market for cryptocurrencies has been known to be volatile with an asymmetrical return distribution where occasional extreme returns appear. In later years options have been introduced on the asset; but due to the characteristics of cryptocurrency returns, researchers have found it troublesome to value these options. READ MORE

  6. 5. 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