Essays about: "basket option"

Showing result 11 - 15 of 18 essays containing the words basket option.

  1. 11. Pricing of a “worst of” option using a Copula method

    University essay from KTH/Matematisk statistik

    Author : Maxime Malgrat; [2013]
    Keywords : ;

    Abstract : In this thesis, we use a Copula Method in order to price basket options and especially “worst of” options. The dependence structure of the underlying assets will be modeled using different families of copulas. The copulas parameters are estimated via the Maximum Likelihood Method from a sample of observed daily returns. READ MORE

  3. 12. Covenants in loan agreements—an analysis of practices within the Swedish high-yield bond sector

    University essay from Lunds universitet/Juridiska institutionen

    Author : Fredrik Fors; [2013]
    Keywords : Avtalsrätt; associationsrätt; förmögenhetsrätt.; Law and Political Science;

    Abstract : A high-yield bond is a financing option for a non-investment grade corporation, enabling it to raise funds on the capital market. In light of harsher conditions for senior financing, the development of a liquid high-yield market for bonds may prove a necessary way forward to ensure global competitiveness for Swedish small and medium-sized enterprises (“SMEs”) that typically relies heavily on bilateral- and syndicated bank loans. READ MORE

  4. 13. Layered Basket Option Hedging : Currency risk management for multinational corporations

    University essay from IHH, Företagsekonomi

    Author : Gustav Carlsson; Robin Ericsson; [2012]
    Keywords : Currency risk; Hedging; Options; Basket; Forwards; Diversification;

    Abstract : Background: In an increasingly globalized environment, corporations perform transactions across borders on a day-to-day basis. As multinational corporations expand their businesses the number of currencies in their operations increases. The consequence of operating with several currencies is the risk associated with currency fluctuations. READ MORE

  5. 14. Evaluation of a least-squares radial basis function approximation method for solving the Black-Scholes equation for option pricing

    University essay from Institutionen för informationsteknologi

    Author : Cong Wang; [2012]
    Keywords : RBF; radial basis function; ill-conditioning; shape parameter; Black-Scholes equation; option pricing;

    Abstract : Radial basis function (RBF) approximation, is a new extremely powerful tool that is promising for high-dimensional problems, such as those arising from pricing of basket options using the Black-Scholes partial differential equation. The main problem for RBF methods have been ill-conditioning as the RBF shape parameter becomes small, corresponding to flat RBFs. READ MORE

  6. 15. A new method of pricing multi-options using Mellin transforms and integral equations

    University essay from Halmstad Embedded and Intelligent Systems Research (EIS)

    Author : Olesya Vasilieva; [2009]
    Keywords : Mellin transforms; Newton´s Method; American Put Option; basket options;

    Abstract : In this thesis a new method for the option pricing will be introduced with the help of the Mellin transforms. Firstly, the Mellin transform techniques for options on a single underlying stock is presented.After that basket options will be considered. READ MORE