Essays about: "deep-in-the-money"

Found 2 essays containing the word deep-in-the-money.

1. 1. American Options on Commodities Under Stochastic Convenience Yield and Stochastic Volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Adriano Tosi; [2014]
   Keywords : American option; Least-Squares Method; commodity; stochastic convenience yield; stochastic volatility.; Business and Economics;

   Abstract : American and Bermudan options have a wide range of applications in financial markets, e.g. in commodities markets among others. The pricing literature of such contingent claims is broad and many different algorithms and frameworks have been developed. READ MORE

3. 2. Black-Scholes Option Pricing Formula - An empirical study

   University essay from Göteborgs universitet/Företagsekonomiska institutionen

   Author : Martin Gustafsson; Erik Mörck; [2010-02-12T08:35:53Z]
   Keywords : Black and Scholes; call option; put option; option pricing; volatility; price difference; pricing error; moneyness; at-the-money; in-the-money; out-of-the-money; deep-in-the-money; deep-out-of-the-money; dividend; risk free interest rate; time to expiry; standard deviation; correlation coefficient; Least-Squares Linear Regression Analysis.;

   Abstract : Purpose: The purpose of this study is to empirically test the accuracy of the Black and Scholes model by examining the difference between theoretical prices predicted by the model and actual market prices. We will also try to determine whether the accuracy of the model varies with the time left to expiration or the moneyness of an option. READ MORE