Essays about: "Stochastic volatility Monte carlo simulation"
Showing result 1 - 5 of 9 essays containing the words Stochastic volatility Monte carlo simulation.
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1. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : 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
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2. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. READ MORE
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3. Option Pricing Under the Markov-switching Framework Defined by Three States
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : An exact solution for the valuation of the options of the European style can be obtained using the Black-Scholes model. However, some of the limitations of the Black-Scholes model are said to be inconsistent such as the constant volatility of the stock price which is not the case in real life. READ MORE
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4. Particle-based Parameter Inference in Stochastic Volatility Models: Batch vs. Online
University essay from KTH/Matematisk statistikAbstract : This thesis focuses on comparing an online parameter estimator to an offline estimator, both based on the PaRIS-algorithm, when estimating parameter values for a stochastic volatility model. By modeling the stochastic volatility model as a hidden Markov model, estimators based on particle filters can be implemented in order to estimate the unknown parameters of the model. READ MORE
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5. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model
University essay from Göteborgs universitet/Graduate SchoolAbstract : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. READ MORE
