Essays about: "volatility model valuation"
Showing result 26 - 30 of 39 essays containing the words volatility model valuation.
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26. Valuation of spread options using the fast Fourier transform under stochastic volatility and jump diffusion models
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Spread options have become very popular in basically every sector of the financial markets, although the pricing of these derivatives still remains a challenge. In this thesis we examine the pricing of spread options using the fast Fourier transform (FFT). READ MORE
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27. Pricing With Uncertainty : The impact of uncertainty in the valuation models ofDupire and Black&Scholes
University essay from KTH/Matematisk statistikAbstract : Theaim of this master-thesis is to study the impact of uncertainty in the local-and implied volatility surfaces when pricing certain structured products suchas capital protected notes and autocalls. Due to their long maturities, limitedavailability of data and liquidity issue, the uncertainty may have a crucialimpact on the choice of valuation model. READ MORE
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28. Arbitrage opportunities on the OMXS : How to capitalize on the ex-dividend effect
University essay from FöretagsekonomiAbstract : Investors are continuously looking to increase the return on their investments. In an ideal world investors want to increase there return and outperform the market. Theory states that it is impossible to do so without increasing your risk. Arbitrage is a concept where investors are able to generate risk-free returns exceeding the market. READ MORE
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29. Barking up the right tree: binomial option valuation of investments in steel making : a case study of Metals and Polymers (Ukraine)
University essay from SLU/Dept. of EconomicsAbstract : This paper investigates the impact of real options on the value of a particular business entity. Theoretically, the paper benefits from use of an option pricing model which is based on a two-state (binomial) framework. READ MORE
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30. Applications of ROA to Value a Dotcom Start-up and a Professional Basketball player
University essay from Akademin för hållbar samhälls- och teknikutveckling; Akademin för utbildning, kultur och kommunikationAbstract : This paper attempts to evaluate a dotcom start-up company and a professional young basketball player using Real Option Analysis in the investors’ points of view. That is, we are standing in the financers’ shoes and valuing both cases if they are worth investing in. READ MORE