Essays about: "option derivatives"

Showing result 11 - 15 of 50 essays containing the words option derivatives.

  1. 11. Finite Difference Methods for the Black-Scholes Equation

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Asima Parveen Saleemi; [2020]
    Keywords : Option pricing; Generalised Black-Scholes model; Finite difference methods; Stability; Convergence; Numerical solution;

    Abstract : Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. READ MORE

  3. 12. Optimization of option pricing : - Variance reduction and low-discrepancy techniques

    University essay from Umeå universitet/Företagsekonomi

    Author : Julia Larsson; [2020]
    Keywords : ;

    Abstract : In recent years, the importance and the interest in financial instrument especially derivatives have increased. The Nobel Prize in Economics 1997 was dedicated to Black & Scholes for their work with finding a new method that estimates option prices for Plain Vanilla Options. READ MORE

  4. 13. Interest Rate Volatility and its Effect on Interest Rate Options

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jacqueline Eriksson; Jakob Sundblad; [2020]
    Keywords : Interest Rates Regimes; Volatility; Derivatives; Interest Rate Options; Asset Pricing;

    Abstract : This paper replicates the study conducted by Guillaume et. al (2013) and derives a relationship between the interest rate volatility and the interest rate level for the Swedish currency (SEK). The results suggest interest rates to be divided into three different regimes consisting of low, intermediate and high rates. READ MORE

  5. 14. Option trading and firm innovation

    University essay from Göteborgs universitet/Graduate School

    Author : Gustav Lundberg; Leon Nagy; [2019-07-02]
    Keywords : ;

    Abstract : We investigate whether active derivatives markets stimulates or inhibits firm innovation within R&D- intense industries. This is done by estimating the relationship between the volume on the option written on the firm’s stock and established measures of firm innovation. READ MORE

  6. 15. The Calibrated SSVI Method - Implied Volatility Surface Construction

    University essay from KTH/Matematisk statistik

    Author : Adam Öhman; [2019]
    Keywords : Implied; Volatility; Surface; Construction; SVI; SSVI; eSSVI; Stochastic Volatility Inspired; calibrated SSVI; modelling; arbitrage; interpolation; extrapolation; FHS VaR; derivatives; CCP; clearing; Implicit; Volatilitet; Ytor; Option; SVI; SSVI; eSSVI; kalibrerade SSVI; arbitrage; modellering; finans; matematik;

    Abstract : In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. READ MORE