Essays about: "empirical black scholes"

Showing result 1 - 5 of 15 essays containing the words empirical black scholes.

1. 1. Artificial Intelligence for Option Pricing

   University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

   Author : Emil Hietanen; [2022-06-19]
   Keywords : Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

   Abstract : 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

3. 2. Heston vs Black Scholes stock price modelling

   University essay from Linnéuniversitetet/Institutionen för matematik (MA)

   Author : Ida Bucic; [2021]
   Keywords : Heston model; Black Scholes model; CIR model; Stock price modelling;

   Abstract : In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. READ MORE

4. 3. Merton Jump-Diffusion Modeling of Stock Price Data

   University essay from Linnéuniversitetet/Institutionen för matematik (MA)

   Author : Furui Tang; [2018]
   Keywords : Black-Scholes Model; Poisson Process; Compound Poisson Process; Merton Jump-Diffusion Model;

   Abstract : In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. READ MORE

5. 4. Extracting volatility smiles from historical spot data

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Emil Larsson; [2017]
   Keywords : Monte Carlo option pricing; empirical volatility smile; Business and Economics;

   Abstract : The Black-Scholes model has been the fundamental framework for option pricing since its publication 1973, but it is known to have shortcomings. To correct for this, plenty of research in option pricing theory has been focused on calibrating a stochastic process to match asset behavior in the financial markets better than the geometric Brownian motion that Black-Scholes assume describe asset behaviour justly. READ MORE

6. 5. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

   University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

   Author : Nicklas Rehnby; [2017]
   Keywords : option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

   Abstract : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. READ MORE