Essays about: "basket option"

Showing result 16 - 18 of 18 essays containing the words basket option.

1. 16. A new method of pricing multi-options using Mellin transforms and Integral equations

   University essay from Tillämpad matematik och fysik (CAMP)

   Author : Olesya Vasilieva; [2009]
   Keywords : ;

   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

3. 17. FX BASKET OPTIONS - Approximation and Smile Prices

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Patrik Karlsson; [2009]
   Keywords : hedging; FX; Black-Scholes; Volatility Smile.; Basket Option; Derivative; Local Volatility; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : Pricing a Basket option for Foreign Exchange (FX) both with Monte Carlo (MC) techniques and built on different approximation techniques matching the moments of the Basket option. The thesis is built on the assumption that each underlying FX spot can be represented by a geometric Brownian motion (GBM) and thus have log normally distributed FX returns. READ MORE

4. 18. Pricing American Options using Simulation

   University essay from Institutionen för matematik och matematisk statistik

   Author : Karl Larsson; [2007]
   Keywords : American options; Monte Carlo simulation; option pricing;

   Abstract : American options are financial contracts that allow exercise at any time until ex- piration. While the pricing of standard American option contracts has been well researched, with a few exceptions no analytical solutions exist. READ MORE