Sökning: "Black-Scholes formula"

Hittade 5 avhandlingar innehållade orden Black-Scholes formula.

  1. 1. Essays on Lookback and Barrier Options - A Malliavin Calculus Approach

    Författare :Hans-Peter Bermin; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Girsanov transformations.; lookback options; Contingent claims; barrier options; hedging; pricing; arbitrage; complete markets; self-financing portfolios; Black-Scholes formula; Clark-Ocone formula; Malliavin calculus; Financial science; Finansiering;

    Sammanfattning : This thesis consists of four theoretical essays on contingent claim analysis and its connection to Malliavin calculus. The first three papers are analyzed in the famous Black and Scholes model, while the setup of the fourth paper involves an international environment and the presence of exchange rates. LÄS MER

  3. 2. Statistical Modeling of Diffusion Processes with Financial Applications

    Författare :Erik Lindström; Finansiell matematik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; Statistik; operations research; programming; Option pricing; Model validation; Recursive estimation; Diffusion processes; Maximum Likelihood Estimation; operationsanalys; programmering; aktuariematematik; Statistics;

    Sammanfattning : This thesis consists of five papers (Paper A-E) on statistical modeling of diffusion processes. Two papers (Paper A & D) consider Maximum Likelihood estimators for non-linear diffusion processes. LÄS MER

  4. 3. Essays on Financial Models

    Författare :Henrik Amilon; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; options; neural networks; hedging; portfolio optimization; econometrics; Economics; ekonomisk teori; ekonomiska system; ekonomisk politik; ekonometri; generalized residuals; discreteness; GARCH; compass rose; nonlinearities; Chaos; economic theory; economic systems; Nationalekonomi; economic policy;

    Sammanfattning : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. LÄS MER

  5. 4. Selected Problems in Financial Mathematics

    Författare :Erik Ekström; Johan Tysk; Svante Janson; Lane P. Hughston; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; American options; convexity; monotonicity in the volatility; robustness; optimal stopping; parabolic equations; free boundary problems; volatility; Russian options; game options; excessive functions; superreplication; smooth fit; Matematisk analys; Mathematical analysis; Analys;

    Sammanfattning : This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. LÄS MER

  7. 5. Topics in importance sampling and derivatives pricing

    Författare :Johan Nykvist; Filip Lindskog; Bert Zwart; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    Sammanfattning : This thesis consists of four papers, presented in Chapters 2-5, on the topics of derivatives pricing and importance sampling for stochastic processes.In the first paper a model for the evolution of the forward density of the future value of an asset is proposed. LÄS MER