Essays about: "in-the-money"

Showing result 11 - 15 of 17 essays containing the word in-the-money.

  1. 11. Evaluation of analytical approximations of two-asset basket option price

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Teo Nilsson; [2015]
    Keywords : Teo; Nilsson; Basket-option; Option-pricing; Analytical-approximation; Business and Economics;

    Abstract : This thesis applies the decomposition suggested by Alexander and Venkatramanan (2012) to the pay-off of a basket option of two assets with a non-zero strike to derive an approximate price of corresponding basket option. The decomposition yields two sub-baskets and a situation where sub-strikes must be chosen. READ MORE

  3. 12. 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

  4. 13. Implications of Multiple Curve Construction in the Swedish Swap Market

    University essay from KTH/Entreprenörskap och Innovation

    Author : Erik Lidholm; Benjamin Nudel; [2014]
    Keywords : collateral; cross currency; discount curve; forward curve; forward starting; off-market; swap; Stibor; collateral; cross currency; diskonteringskurva; forwardkurva; forward starting; off-market; swap; Stibor;

    Abstract : The global financial crisis of 2007 caused abrupt changes in the financial markets. Interest rates that were known to follow each other diverged. Furthermore, both regulation and an increased awareness of counterparty credit risks have fuelled a growth of collateralised contracts. READ MORE

  5. 14. Pricing and Hedging using Hedge Monte-Carlo Method

    University essay from Lunds universitet/Matematisk statistik

    Author : Arzu Eski; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : In this master’s thesis The Hedge Monte-Carlo method (HMC) is evaluated. The HMC method is used to price financial derivatives and at the same time obtain optimal hedge portfolios. The optimal hedge is of great importance as it enables risk management in option trading. READ MORE

  6. 15. Derivative market: efficient option pricing models and predictive informational content

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Martins Feldmanis; Juris Rumba; [2012]
    Keywords : Volatility surface; Implied volatility and its informational content; Put Call volume ratio; Model-Free implied volatility; Gram-Charlier Expansion;

    Abstract : In this study we have examined the informational content of OMXS30 index European style call and put Options which are traded on the OMX Swedish stock exchange by applying extensions of the BS model. Firstly, we use two models (Gram-Charlier expansion and Model-Free) to obtain robust implied higher order moment estimates. READ MORE