Essays about: "option derivatives"

Showing result 6 - 10 of 50 essays containing the words option derivatives.

  1. 6. Differential Deep Learning for Pricing Exotic Financial Derivatives

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Erik Alexander Aslaksen Jonasson; [2021]
    Keywords : Deep Learning; Exotic Derivatives; Differential Machine Learning;

    Abstract : Calculating the value of a financial derivative is a central problem in quantitative finance. For many exotic derivatives there are no closed-form solutions for present values, instead, computationally expensive Monte Carlo methods are used for valuation. READ MORE

  3. 7. Pricing Complex derivatives under the Heston model

    University essay from KTH/Matematik (Avd.)

    Author : Omar Naim; [2021]
    Keywords : Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

    Abstract : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. READ MORE

  4. 8. Managing long-term risks of investments within the health care sector : - Supporting decision making processes using financial theory

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Andreas Bergström; Pontus Enström; [2021]
    Keywords : Health Economics; Advanced Therapy Medicinal Products; Derivatives; Option theory; QALY; Cost-effectiveness;

    Abstract : ATMP (Advanced Therapy Medicinal Products) is a new type of treatment with the potential to cure otherwise severe and even deadly diseases, for which there are only inhibitive medicine available. This means that the healthcare sector now have access to treatments that greatly increases the number of QALY:s received. READ MORE

  5. 9. A comparison of numerical methods for pricing single and double barrier options

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

    Author : Mhd Rashid Yehya; [2021]
    Keywords : Barrier option; binomial tree; combinatorial methods; comparison; computational time; double barrier option; knock-in option; knock-out option; single barrier option; spectral binomial tree approach; standard barrier option.;

    Abstract : Barrier options are the most popular and traded derivatives in the financial market because of their lower prices. Many studies have been conducted to develop the methods of pricing barrier options. Barrier option prices can be calculated using the classical binomial tree method, but it is time-consuming when we have a large number of time periods. READ MORE

  6. 10. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Fredrik Gerdin Börjesson; [2021]
    Keywords : Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

    Abstract : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. READ MORE