Essays about: "europeiska optioner"

Showing result 1 - 5 of 12 essays containing the words europeiska optioner.

  1. 1. The Predictive Power of Implied Volatility in Option Pricing

    University essay from KTH/Matematisk statistik

    Author : Lovisa Berglund; [2023]
    Keywords : Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

    Abstract : 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

  3. 2. Volatility Forecasting using GARCH Processes with Exogenous Variables

    University essay from KTH/Matematisk statistik

    Author : Ellis Larson; [2022]
    Keywords : Stochastic process; GARCH model; Volatility; Exogenous variables; Evaluation metrics.; GARCH; Volatilitet; Exogena variabler; Evalueringsmetriker.;

    Abstract : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. READ MORE

  4. 3. Option Pricing on Levy Based Markets

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Rafael Velasquez; [2020]
    Keywords : ;

    Abstract :   The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options. READ MORE

  5. 4. Classification of Financial Instruments

    University essay from KTH/Matematisk statistik

    Author : Andreas Lindberg; [2019]
    Keywords : IFRS; Financial instruments; Classification; Fair value; Fair value hierarchy; Autocall; Swap; European option; Asian option; Implied volatility; Correlation; Market activity; Interest rates;

    Abstract : In this thesis a general framework and accompanying guidelines for how to classify financial instruments within the fair value hierarchy (included within IFRS 13) is presented. IFRS 13 introduces a broad and loosely defined regulation of how to classify a financial instrument which leaves room for misinterpretation and uncertainties. READ MORE

  6. 5. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

    University essay from KTH/Matematisk statistik

    Author : Sam Johansson; [2019]
    Keywords : CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

    Abstract : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. READ MORE