Essays about: "Trinomial option pricing model"

Found 3 essays containing the words Trinomial option pricing model.

  1. 1. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    University essay from Lunds universitet/Matematisk statistik

    Author : Jan Müller; [2022]
    Keywords : Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Abstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE

  3. 2. Volatility Curves of Incomplete Markets

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Kateryna Chechelnytska; [2020-06-23]
    Keywords : Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

    Abstract : The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were perfectly described by the Black-Scholes model, the implied volatility would be independent of the strike price and thus the volatility curve would be a at horizontal line. READ MORE

  4. 3. Lattice Approximations for Black-Scholes type models in Option Pricing

    University essay from Akademin för utbildning, kultur och kommunikation

    Author : Hossein Nohrouzian; Anne Karlén; [2013]
    Keywords : Finance; Black-Scholes; Binomial Models; Financial mathematics;

    Abstract : This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. READ MORE