Essays about: "thesis in option pricing"

Showing result 1 - 5 of 114 essays containing the words thesis in option pricing.

  1. 1. Covered Call on an Index - A Comparative Study of Two Strategies

    University essay from Göteborgs universitet/Graduate School

    Author : Karin Carlsson; [2023-06-29]
    Keywords : Index Options; Covered Calls; Monte Carlo; Utility;

    Abstract : This thesis undertakes a comparative analysis of two ways of performing a covered call strategy on a dual asset index. The distinguishing factor between the two approaches pertains to the writing of the call options, where one approach involves writing the call option on the entire index, while the other involves writing options on each asset within the index separately. READ MORE

  3. 2. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Samuel Rosén; [2023]
    Keywords : HQH; Heston Queue Hawkes; Option Pricing; jump diffusion;

    Abstract : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. READ MORE

  4. 3. Risk Assessment of Digital Assets – Insurance Applications in Cryptocurrencies and NFTs

    University essay from Lunds universitet/Institutionen för elektro- och informationsteknik

    Author : Roberto Delgado Ferrezuelo; [2023]
    Keywords : Blockchain; NFTs; private key; phishing; floor price; rarity; cold wallet; hot wallet; risk premium; Technology and Engineering;

    Abstract : The aim of the project is to develop a framework for an insurance policy for digital assets. The project comprised several stages, starting with the identification of risks associated with these assets. Policyholders were then categorized into two groups based on a predefined rating factor. READ MORE

  5. 4. Credit Exposure Modelling Using Differential Machine Learning

    University essay from Lunds universitet/Matematisk statistik

    Author : Måns Karp; Samuel Wagner; [2023]
    Keywords : Counterparty credit risk; Differential machine learning; Exposure modelling; Heston model; Option pricing; Mathematics and Statistics;

    Abstract : Exposure modelling is a critical aspect of managing counterparty credit risk, and banks worldwide invest significant time and computational resources in this task. One approach to modelling exposure involves pricing trades with a counterparty in numerous potential future market scenarios. READ MORE

  6. 5. 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