Essays about: "basket option"
Showing result 1 - 5 of 18 essays containing the words basket option.
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1. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model
University essay from KTH/Matematisk statistikAbstract : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. READ MORE
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2. Estimation methods for Asian Quanto Basket options
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : All financial institutions that provide options to counterparties will in most cases get involved withMonte Carlo simulations. Options with a payoff function that depends on asset’s value at differenttime points over its lifespan are so called path dependent options. READ MORE
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3. Modeling implied correlation matrices using option prices
University essay from KTH/Matematisk statistikAbstract : In the process of calculating a fair value it is preferable to price the asset from observable market data. Some assets are valued using variables which can not be directly observed in the market but are instead implied from observable market data. One such variable is the correlation between assets. READ MORE
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4. Combinatorial and price efficient optimization of the underlying assets in basket options
University essay from KTH/Optimeringslära och systemteoriAbstract : The purpose of this thesis is to develop an optimization model that chooses the optimal and price efficient combination of underlying assets for a equally weighted basket option. To obtain a price efficient combination of underlying assets a function that calculates the basket option price is needed, for further use in an optimization model. READ MORE
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5. Regression-Based Monte Carlo For Pricing High-Dimensional American-Style Options
University essay from Umeå universitet/Institutionen för fysikAbstract : Pricing different financial derivatives is an essential part of the financial industry. For some derivatives there exists a closed form solution, however the pricing of high-dimensional American-style derivatives is still today a challenging problem. READ MORE