Sökning: "Option price"

Visar resultat 11 - 15 av 76 avhandlingar innehållade orden Option price.

1. 11. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

   Författare :Carl Wilkens; Mats Persson; Peter Sellin; Michael Bergman; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; Economics; Nationalekonomi;

   Sammanfattning : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. LÄS MER

3. 12. Payment Efficiency and Payment Pricing : Four Essays

   Författare :Magnus Willesson; Ted Lindblom; Björn Lantz; Mats Bergman; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; payments; bank; efficiency; pricing; technical change; two-sided networks; price bundling; Payments; bank; efficiency; pricing; technical change; two-sided networks; price bundling;

   Sammanfattning : The four essays in this Doctoral thesis provide new evidence of efficiency in electronic payments and banks due to the technological change in payment distribution systems and how banks can utilize and develop their pricing of payments in the presence of changing technology.“Benefits from a Changing Payment Technology in European Banking” identifies cost savings from technical change in European banking. LÄS MER

4. 13. Essays on risk and housing

   Författare :Han-Suck Song; Hans Lind; Peter Englund; KTH; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; housing risks; risk management; strategic alliances; housing construction; low-income housing; real options; tenure choice; rent regulation; housing cooperative conversion; price index; Economics; Nationalekonomi; Econometrics; Ekonometri; Economic geography; Ekonomisk geografi;

   Sammanfattning : There is a series of different types of risk on the housing market and related industries.  The six papers in this doctoral dissertation are about a number of the many dimensions of risk management on the housing market. LÄS MER

5. 14. Essays on the Financial Aspects of Power Prices at the Nord Pool Power Exchange

   Författare :Daniel Deng; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; EGARCH; convenience yield; call option;

   Sammanfattning : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as a hydropower inventory therefore plays an important role in the pricing of electricity. LÄS MER

7. 15. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

   Författare :Daniel Deng; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

   Sammanfattning : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. LÄS MER