Essays about: "option derivatives"

Showing result 16 - 20 of 50 essays containing the words option derivatives.

  1. 16. Phenolic compounds in Fagopyrum sp. grains (buckwheat) : profile, bioactivity and effect of processing

    University essay from SLU/Department of Molecular Sciences

    Author : Agnes Wahlsten; [2019]
    Keywords : Buckwheat; Fagopyrum esculentum; Fagopyrum tartari- cum; rutin; quercetin; total phenolic content; gluten-free; functional foods; antioxidants;

    Abstract : This study aimed to investigate the health benefits related to chemical com-pounds found in buckwheat cultivars. Factors influencing the presence of bioactive compounds with assumed health effects were examined. Two spe-cies of buckwheat, Fagopyrum esculentum (common buckwheat) and Fag-opyrum Tartaricum (tartary buckwheat) were evaluated. READ MORE

  3. 17. 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

  4. 18. Efficient Barrier Option Greeks using Automatic Differentation

    University essay from Lunds universitet/Matematisk statistik

    Author : Gustav Hedin; [2019]
    Keywords : Automatic Differentiation; Greeks; Barrier Option; Vibrato Monte Carlo; Mathematics and Statistics;

    Abstract : Automatic Differentiation (AD) is an effective method for calculation of derivatives. It can evaluate an unlimited number of derivatives to a fixed cost relative to the computing time of the original function. The AD technique is used in many fields for large and complex calculations in order to get accurate values of derivatives fast. READ MORE

  5. 19. American Option Price Approximation for Real-Time Clearing

    University essay from Umeå universitet/Institutionen för fysik

    Author : Andreas Blanck; [2018]
    Keywords : Finance; Options; Risk; VaR; Price approximation;

    Abstract : American-style options are contracts traded on financial markets. These are derivatives of some underlying security or securities that in contrast to European-style options allow their holders to exercise at any point before the contracts expire. READ MORE

  6. 20. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation

    University essay from KTH/Matematisk statistik

    Author : Simon Carmelid; [2017]
    Keywords : ;

    Abstract : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. READ MORE