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Found 3 essays matching the above criteria.

  1. 1. Model risk quantification in option pricing

    University essay from Lunds universitet/Matematisk statistik

    Author : Michael Montag; Fredrik Persson; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : This thesis investigates a methodology for quantification of model risk in option pricing. A set of different pricing models is specified and each model is assigned a probability weight based on the Akaike Information Criteria. It is then possible to obtain a price distribution of an exotic derivative from these probability weights. READ MORE

  3. 2. Black Swan Investing: An empirical study in context of efficient markets

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Aleksis Tastsidis Olsson; Pontus Löfberg; [2014]
    Keywords : Black Swans; Efficient market hypothesis; Fat-tails; Kelly criterion; Outliers; Trading strategy; Unknown unknowns; Business and Economics;

    Abstract : Purpose: The purpose of this paper is to assess the sustainability of the efficient market theorem when accounting for extreme events, which are of the essence in a Black Swan investment philosophy. Methodology: Quantitative approach. READ MORE

  4. 3. 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