Essays about: "basket option"

Showing result 6 - 10 of 18 essays containing the words basket option.

  1. 6. Randomized Quasi-Monte Carlo Simulations for Basket Option Pricing where underlying assets follow a Time-Changed Meixner Levy Process

    University essay from Lunds universitet/Matematisk statistik

    Author : Gustav Säfwenberg; [2016]
    Keywords : Mathematics and Statistics;

    Abstract : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can oer both insurance and leverage and for a more risk-loving investor they can be used as speculation. READ MORE

  3. 7. Randomized Quasi-Monte Carlo Methods for Basket Option Pricing Where Underlying Assets Follow a Time-Changed Meixner Lévy Process

    University essay from Lunds universitet/Matematisk statistik

    Author : Gustav Säfwenberg; [2016]
    Keywords : Basket options Randomized quasi-Monte Carlo Time-changed Lévy Process Meixner Distribution Fast Fourier Transform; Mathematics and Statistics;

    Abstract : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can offer both insurance and leverage and for a more risk-loving investor they can be used as speculation. READ MORE

  4. 8. Evaluation of analytical approximations of two-asset basket option price

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Teo Nilsson; [2015]
    Keywords : Teo; Nilsson; Basket-option; Option-pricing; Analytical-approximation; Business and Economics;

    Abstract : This thesis applies the decomposition suggested by Alexander and Venkatramanan (2012) to the pay-off of a basket option of two assets with a non-zero strike to derive an approximate price of corresponding basket option. The decomposition yields two sub-baskets and a situation where sub-strikes must be chosen. READ MORE

  5. 9. Efficient Sensitivity Analysis using Algorithmic  Differentiation in Financial Applications

    University essay from KTH/Matematisk statistik

    Author : Ludvig Lamm; Erik Sunnegårdh; [2015]
    Keywords : ;

    Abstract : One of the most essential tasks of a financial institution is to keep the financial risk the institution is facing down to an acceptable level. This risk can for example be incurred due to bought or sold financial contracts, however, it can usually be dealt with using some kind of hedging technique. READ MORE

  6. 10. Pricing a basket option when volatility is capped using affinejump-diffusion models

    University essay from KTH/Matematisk statistik

    Author : Daniel Krebs; [2013]
    Keywords : Exotic option; basket option; risk management; greeks; affine jumpdiffusions; the Black-Scholes model; the Heston model; Bates model with lognormal jumps; the Bates model with log-asymmetric double exponential jumps; the Stochastic-Volatility-Simultaneous-Jumps SVSJ -model; the Sepp-model;

    Abstract : This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. READ MORE