Sökning: "call option"

Visar resultat 1 - 5 av 22 avhandlingar innehållade orden call option.

  1. 1. Narrow Framing and Call Option Grants

    Författare :Göran Österholm; Martin Holmen; Andreas Westermark; Salvatore Miglietta; Uppsala universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi; Nationalekonomi; Economics;

    Sammanfattning : .... LÄS MER

  3. 2. Option Pricing and Bayesian Learning

    Författare :Ola Jönsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Bayesian learning; Volatility smile; Economics; Polya urn model; economic theory; econometrics; economic systems; Nationalekonomi; economic policy; Finansiering; Financial science;

    Sammanfattning : This thesis consists of three chapters devoted to both empirical and theoretical aspects of option pricing. The first chapter investigates the market for European options on the Swedish OMX index using daily data for the period 1993-2000. LÄS MER

  4. 3. 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

  5. 4. 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

  7. 5. Optimal Stopping and Model Robustness in Mathematical Finance

    Författare :Henrik Wanntorp; Johan Tysk; Svante Janson; Boualem Djehiche; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Optimal stopping; model robustness; American options; free boundary problems; hedging; option pricing; Mathematical statistics; Matematisk statistik;

    Sammanfattning : Optimal stopping and mathematical finance are intimately connected since the value of an American option is given as the solution to an optimal stopping problem. Such a problem can be viewed as a game in which we are trying to maximize an expected reward. LÄS MER