Sökning: "American option"

Visar resultat 16 - 20 av 32 avhandlingar innehållade orden American option.

  1. 16. Pricing of Some Path-Dependent Options on Equities and Commodities

    Författare :Mats Kjaer; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cliquet options with global floor; Commodity swing options; Storage valuation; Correlation matrix modelling; Bachelier-Samuelson model; Jump-diffusion models; Futures curve models; Parabolic PDE PIDEs; Numerical integration; Finite difference methods.;

    Sammanfattning : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. LÄS MER

  3. 17. Radial basis function methods for pricing multi-asset options

    Författare :Victor Shcherbakov; Elisabeth Larsson; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

    Sammanfattning : The price of an option can under some assumptions be determined by the solution of the Black–Scholes partial differential equation. Often options are issued on more than one asset. In this case it turns out that the option price is governed by the multi-dimensional version of the Black–Scholes equation. LÄS MER

  4. 18. Multi-period valuation of insurance liabilities subject to capital requirements

    Författare :Hampus Engsner; Filip Lindskog; Mathias Lindholm; Albrecher Hansjörg; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : In the papers presented here, approaches to multi-period valuation of a liability cashflow in runoff, subject to repeated capital requirements, are developed and analyzed. The valuation approaches are inspired by current risk-based regulatory frameworks for the insurance industry, and consistent with the fundamental principles underlying them. LÄS MER

  5. 19. Dynamics of aluminum use in the global passenger car system: Challenges and solutions of recycling and material substitution

    Författare :Roja Modaresi; Norges teknisk-naturvitenskapelige universitet (NTNU); []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY;

    Sammanfattning : This thesis analyzes the relationship between the design of vehicles, end-of-life vehicle (ELV) management, and global material production using aluminum as an example. Vehicle manufacturing, material industries and ELV management face different challenges. LÄS MER

  7. 20. Essays on Development: Household Income, Education, and Female Political Participation and Representation

    Författare :Måns Nerman; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Africa; Afrobarometer; gender gap; gender quotas; income diversification; household behaviour; Latin America; primary education; political participation; shadow wages; Tanzania; women in parliament;

    Sammanfattning : The thesis consists of four self-contained papers. Paper 1: The Push Towards UPE and the Determinants of the Demand for Education in Tanzania. LÄS MER