Essays about: "option pricing"

Showing result 6 - 10 of 224 essays containing the words option pricing.

1. 6. Option pricing with Quadratic Rough Heston Model

   University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

   Author : Marina Dushkina; [2023]
   Keywords : option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

   Abstract : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. READ MORE

3. 7. The Predictive Power of Implied Volatility in Option Pricing

   University essay from KTH/Matematisk statistik

   Author : Lovisa Berglund; [2023]
   Keywords : Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

   Abstract : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. READ MORE

4. 8. Shifting Gears: Entering the Automotive Vertical

   University essay from Lunds universitet/Innovationsteknik

   Author : Tobias Anderberg; Axel Svensson; [2023]
   Keywords : Online automotive advertising; performance-based pricing; classifieds; marketplaces; transactional models; monopolistic markets.; Technology and Engineering;

   Abstract : Tradera, Sweden's leading online marketplace for circular consumption, is considering entering the online automotive advertising market in Sweden as a new vertical to diversify its business. This thesis aims to determine if Tradera should enter the online automotive advertising market and to propose a strategic roadmap for entry if it is determined to be beneficial. READ MORE

5. 9. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation

   University essay from Uppsala universitet/Analys och partiella differentialekvationer

   Author : Mohammed Moniruzzaman Khan; [2023]
   Keywords : ;

   Abstract : This thesis aims at evaluating and implementing Longstaff & Schwarz approach for approximating the value of American options. American options are generally hard to value, exercised at any time up to its expiration and moreover, there is no closed- form solution for an American option’s price. READ MORE

6. 10. Geometric Brownian Motion Option Pricing Model for Professional Football Contracts

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Dennis Markovic; Emil Schough; [2023]
   Keywords : Geometric Brownian motion; Football; Investment analysis; Real options;

   Abstract : In recent years, the valuation of football players has gained significant attention, especially in the context of their transfer value in the market. Our investigation explores the application of a Geometric Brownian Motion option pricing model to estimate the transfer value of football players, considering the option-like characteristics of player contracts. READ MORE