Essays about: "equity index options"

Showing result 1 - 5 of 8 essays containing the words equity index options.

1. 1. Deep Learning and the Heston Model:Calibration & Hedging

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
   Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

   Abstract : The computational speedup of computers has been one of the de ning characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. READ MORE

3. 2. Does the Market Remember? How Underperforming IPOs of Portfolio Companies Impact Future Exit Options of Private Equity Funds

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Armin Hartl; Mateo Steinbach-Kunkler; [2019]
   Keywords : Private Equity; Initial Public Offering; Exits; Underperforming IPOs; Reputation;

   Abstract : The unprecedented rise in private equity as an asset class has drawn the attention of scholars, practitioners and the general public alike. Notwithstanding, the determinants of the exit route, a crucial part of the value creation of private equity funds, remains partly unanswered. READ MORE

4. 3. Alternative Methods of Estimating Investor´s Risk Appetite

   University essay from KTH/Matematisk statistik

   Author : Felix Kuritzén; [2019]
   Keywords : Risk appetite; Riskaptit;

   Abstract : In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. READ MORE

5. 4. Measuring the Risk-neutral Probability Distribution of Equity Index Options

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Gustav Dackner; Linus Falk; [2019]
   Keywords : ;

   Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE

6. 5. 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