Essays about: "Stock Price Jumps"

Showing result 1 - 5 of 7 essays containing the words Stock Price Jumps.

1. 1. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

   University essay from Lunds universitet/Matematisk statistik

   Author : Oscar Brink Bolin; Joel Ahnvik; [2022]
   Keywords : Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

   Abstract : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. READ MORE

3. 2. The Effect of the ESG Score on Stock Price Jumps : A Quantitative Study on Nordic Countries

   University essay from Umeå universitet/Företagsekonomi

   Author : Zakia Afrooz; Artur Kruusman; [2019]
   Keywords : ESG Score; Stock Price Jumps;

   Abstract : Sustainability performance of a firm is gaining equal importance as the economic performance in today’s world. Sustainability scores or ESG ratings have successfully emerged to be popular sustainability performance measurements for firms across the globe. READ MORE

4. 3. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

   University essay from Göteborgs universitet/Graduate School

   Author : Giulia Cesaroni; [2017-07-25]
   Keywords : Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

   Abstract : 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

5. 4. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model

   University essay from Göteborgs universitet/Graduate School

   Author : Maggie Wan-Chun Bogert; Zhang Zhao; [2017-07-25]
   Keywords : Contingent Convertible Bonds; Equity-credit Model; CoCos; Fortet Algorithms; Pricing;

   Abstract : The contingent convertible (CoCo) bond is a loss-absorbing instrument which can be converted mandatorily to common equity when a trigger event happens, such as the bookvalue trigger and the discretionary trigger. The book-value trigger means that once the capital ratio hits the pre-specified threshold, the equity conversion will be activated. READ MORE

6. 5. Pricing Timer Options under Jump-Diffusion Processes

   University essay from Lunds universitet/Matematisk statistik

   Author : Janis Müller; [2014]
   Keywords : Mathematics and Statistics;

   Abstract : Timer options are relatively new exotic options with the feature that they expire as soon as the accumulated realized variance exceeds a predefined level. This construction leads to a random time to maturity instead of having a fixed exercise day. READ MORE