Essays about: "the black-scholes model"

Showing result 16 - 20 of 77 essays containing the words the black-scholes model.

1. 16. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

   University essay from KTH/Matematisk statistik

   Author : Christopher Herron; André Zachrisson; [2020]
   Keywords : Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

   Abstract : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. READ MORE

3. 17. Forecasting Call Option prices : A Quantitative Study in Financial Economics

   University essay from Umeå universitet/Nationalekonomi

   Author : Roger Lundmark; [2020]
   Keywords : ;

   Abstract : It is not uncommon that the theoretical price of a model is different from the market price due to various disturbances. The purpose of this study was to analyze how well the original Black-Scholes-Merton model performs accurate forecasts of the option price, where the underlying asset was the NIFTY50 stock index. READ MORE

4. 18. Implied volatility expansion under the generalized Heston model

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

   Author : Hanna Andersson; Ying Wang; [2020]
   Keywords : Heston model; Generalized Heston model; implied volatility; implied volatility expansion; Black–Scholes; Monte Carlo method; European options;

   Abstract : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. READ MORE

5. 19. Finite Difference Methods for the Black-Scholes Equation

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

   Author : Asima Parveen Saleemi; [2020]
   Keywords : Option pricing; Generalised Black-Scholes model; Finite difference methods; Stability; Convergence; Numerical solution;

   Abstract : Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. READ MORE

6. 20. When to expect decreasing implied volatilities

   University essay from Uppsala universitet/Matematiska institutionen

   Author : Tobias Nordahl; [2020]
   Keywords : finansiell matematik; volatilitet; implicit volatilitet; lokal volatilitet;

   Abstract : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. READ MORE