Essays about: "option derivatives"

Showing result 21 - 25 of 50 essays containing the words option derivatives.

  1. 21. Pricing Financial Derivatives with the FiniteDifference Method

    University essay from KTH/Matematisk statistik

    Author : Sargon Danho; [2017]
    Keywords : American Call Option; Black-Scholes Equation; European Option; Finite Difference Method; Heat Equation; Optimal Exercise Boundary; Optimal Exit Boundary; Stock Loan; Amerikanska köpoptioner; Black-Scholes ekvation; europeiska optioner; finita differensmetoden; värmeledningsekvationen; optimala omvandlingsgräns; optimala avyttringsgräns; lån med aktier som säkerhet;

    Abstract : In this thesis, important theories in financial mathematics will be explained and derived. These theories will later be used to value financial derivatives. READ MORE

  3. 22. Extracting volatility smiles from historical spot data

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emil Larsson; [2017]
    Keywords : Monte Carlo option pricing; empirical volatility smile; Business and Economics;

    Abstract : The Black-Scholes model has been the fundamental framework for option pricing since its publication 1973, but it is known to have shortcomings. To correct for this, plenty of research in option pricing theory has been focused on calibrating a stochastic process to match asset behavior in the financial markets better than the geometric Brownian motion that Black-Scholes assume describe asset behaviour justly. READ MORE

  4. 23. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Author : Nicklas Rehnby; [2017]
    Keywords : option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Abstract : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. READ MORE

  5. 24. Optimization of American option pricing through GPU computing

    University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)

    Author : Hadar Greinsmark; Erik Lindström; [2017]
    Keywords : finance; options; GPU; GPGPU; GPU computing; binomial method; BOPM; CUDA;

    Abstract : Over the last decades the market for financial derivatives has grown dramatically to values of global importance. With the digital automation of the markets, programs able to efficiently value financial derivatives has become key to market competitiveness and thus garnered considerable interest. READ MORE

  6. 25. Regression-Based Monte Carlo For Pricing High-Dimensional American-Style Options

    University essay from Umeå universitet/Institutionen för fysik

    Author : Niklas Andersson; [2016]
    Keywords : American options; Monte Carlo; Robust Regression; Quasi Monte Carlo; Importance sampling;

    Abstract : Pricing different financial derivatives is an essential part of the financial industry. For some derivatives there exists a closed form solution, however the pricing of high-dimensional American-style derivatives is still today a challenging problem. READ MORE