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Showing result 1 - 5 of 10 essays matching the above criteria.

  1. 1. 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

  3. 2. Volatility Curves of Incomplete Markets

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Kateryna Chechelnytska; [2020-06-23]
    Keywords : Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

    Abstract : The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were perfectly described by the Black-Scholes model, the implied volatility would be independent of the strike price and thus the volatility curve would be a at horizontal line. READ MORE

  4. 3. The Swap Market Model with Local Stochastic Volatility

    University essay from KTH/Matematisk statistik

    Author : Mohammed Benmakhlouf Andaloussi; [2019]
    Keywords : ;

    Abstract : Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. READ MORE

  5. 4. 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

  6. 5. Calibration of the Multiscale Stochastic Volatility Model via an Asymptotic Expansion Approach

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

    Author : Christ-Roi Musonere; Tawfiqullah Qutbuddin; [2016]
    Keywords : ;

    Abstract : We study a model of multiscale stochastic volatility for European option pricing. In this model there are two volatility factors. The rst volatility factor is of fast scale of mean-reverting and the second one is of slow scale of mean-reverting. We review the useful calibration formula derived by Fouque et al. READ MORE