Essays about: "numerical methods in option valuation"

Showing result 6 - 7 of 7 essays containing the words numerical methods in option valuation.

  1. 6. Comparative analysis of the SVJJ and the Hyperbolic models on the Swedish market

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Ekaterina Anisimova; Tomasz Lapinski; [2008]
    Keywords : SVJJ model; hyperbolic model;

    Abstract : In this thesis we investigate and compare two recently developed models of the option valuation according to the Swedish market. The first model is the Stochastic Volatility model with jumps in the stock price and the volatility (SVJJ) and the second is the Hyperbolic model. READ MORE

  3. 7. Pricing American Options using Simulation

    University essay from Institutionen för matematik och matematisk statistik

    Author : Karl Larsson; [2007]
    Keywords : American options; Monte Carlo simulation; option pricing;

    Abstract : American options are financial contracts that allow exercise at any time until ex- piration. While the pricing of standard American option contracts has been well researched, with a few exceptions no analytical solutions exist. READ MORE