Essays about: "the black-scholes model"
Showing result 11 - 15 of 77 essays containing the words the black-scholes model.
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11. Deterministic Quadrature Formulae for the Black–Scholes Model
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : There exist many numerical methods for numerical solutions of the systems of stochastic differential equations. We choose the method of deterministic quadrature formulae proposed by Müller–Gronbach, and Yaroslavtseva in 2016. The idea is to apply a simplified version of the cubature in Wiener space. READ MORE
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12. Pricing Complex derivatives under the Heston model
University essay from KTH/Matematik (Avd.)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
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13. Option pricing under Black-Scholes model using stochastic Runge-Kutta method.
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : The purpose of this paper is solving the European option pricing problem under the Black–Scholes model. Our approach is to use the so-called stochastic Runge–Kutta (SRK) numericalscheme to find the corresponding expectation of the functional to the stochastic differentialequation under the Black–Scholes model. READ MORE
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14. Heston vs Black Scholes stock price modelling
University essay from Linnéuniversitetet/Institutionen för matematik (MA)Abstract : In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. READ MORE
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15. Volatility Curves of Incomplete Markets
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : 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