Essays about: "option pricing"

Showing result 11 - 15 of 224 essays containing the words option pricing.

1. 11. Exploring backward stochastic differential equations and deep learning for high-dimensional partial differential equations and European option pricing

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

   Author : Jonathan Leung; [2023]
   Keywords : Backward Stochastic Differential Equations; Semilinear Parabolic Partial Differential Equations; Artificial Neural Networks; Nonlinear Option Pricing; Black-Scholes; Nonlinear Feynman-Kac; Euler-Maruyama;

   Abstract : Many phenomena in our world can be described as differential equations in high dimensions. However, they are notoriously challenging to solve numerically due to the exponential growth in computational cost with increasing dimensions. READ MORE

3. 12. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

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

   Author : Nicolas Kuiper; Martin Westberg; [2023]
   Keywords : Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

   Abstract : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. READ MORE

4. 13. Techno-economic analysis of innovative storage power plants utilizing existing CCGT systems : An Austrian case study

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : Niklas Pöcklhofer; Philipp Sares; [2023]
   Keywords : Innovative storage power plants; sector coupling; existing infrastructure; CCGT; hydrogen-fired gas turbine; hydrogen; hybridized energy system; techno-economic analysis; sustainability; Innovativa lagringskraftverk; sektorkoppling; befintlig infrastruktur; CCGT; vätgaseldad gasturbin; vätgas; hybridiserat energisystem; teknisk-ekonomisk analys; hållbarhet;

   Abstract : Efforts to mitigate climate change and current geopolitical disruptions have revealed that changes to the existing energy system are urgently required to offer sustainable and secure energy for Europe. Hence, the role of conventional thermal power plants is being challenged and new technologies providing additional functionality for the power grid are pushing into the market. READ MORE

5. 14. Tick-Tock: Time to invest? : A Study of the Investment Performance of Luxury Watches versus Traditional Assets

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Gustav Sjöstedt; Sara Mannerford; [2023]
   Keywords : Veblen goods alternative assets traditional assets luxury watches hedonic pricing method hedonic characteristics regression analysis Sharpe ratio Treynor ratio CAPM Jensen’s alpha;

   Abstract : Background: This study discusses the phenomenon of luxury goods as investment assets,focusing on luxury watches in particular. The rise of globalization and increased wealth,particularly among the middle and high-income groups in developing countries, hascreated a larger potential customer base for luxury items. READ MORE

6. 15. Artificial Intelligence for Option Pricing

   University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

   Author : Emil Hietanen; [2022-06-19]
   Keywords : Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

   Abstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE