Essays about: "black scholes volatility"
Showing result 1 - 5 of 60 essays containing the words black scholes volatility.
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1. The Predictive Power of Implied Volatility in Option Pricing
University essay from KTH/Matematisk statistikAbstract : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. READ MORE
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2. Artificial Intelligence for Option Pricing
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE
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3. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. READ MORE
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4. The impact of extreme weather events on implied volatility functions of agricultural options
University essay from Umeå universitet/FöretagsekonomiAbstract : The main aim of this thesis is to investigate the impact of extreme weather events on implied volatility functions of agricultural commodity options at different levels of moneyness. The thesis used daily data of the implied volatilties of four major US agricultural commodities at three moneyness levels for the period starting 2017 to 2022. READ MORE
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5. Estimating the Expected Pay-out of Earnout Contracts in Private Acquisitions
University essay from KTH/Matematik (Avd.)Abstract : The growth of private equity, as well as consolidation trends across other industries, have produced a strong and vibrant mergers and acquisitions market. A challenge during these acquisitions is information asymmetry, which makes agreeing on the transaction price a challenge. READ MORE