Sökning: "option pricing"

Visar resultat 1 - 5 av 53 avhandlingar innehållade orden option pricing.

  1. 1. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction

    Detta är en avhandling från Göteborg : Chalmers University of Technology

    Författare :Georgios Foufas; Göteborgs universitet.; Gothenburg University.; [2008]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; finite element method; Galerkin; duality; a posteriori error estimation; adaptivity; option pricing; Greeks; Brownian motion; European option; barrier option; lookback option; Asian option; average option; POD; model reduction; balanced truncation; lookback option; balanced truncation; Greeks; a posteriori error estimation; adaptivity; Brownian motion; option pricing; duality; model reduction; Asian option; European option; barrier option; POD; average option; Galerkin;

    Sammanfattning : In this thesis we develop an adaptive finite elementmethod for pricing of several path-dependent options including barrier options, lookback options, and Asian options. The options are priced using the Black-Scholes PDE-model, and the resulting PDE:s are of parabolic type in one spatial dimension with different boundary conditions and jump conditions at monitoring dates. LÄS MER

  2. 2. Accurate Finite Difference Methods for Option Pricing

    Detta är en avhandling från Uppsala : Acta Universitatis Upsaliensis

    Författare :Jonas Persson; Lina von Sydow; Per Lötstedt; Johan Tysk; Jari Toivanen; [2006]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Finite differences; Option pricing; Adaptive methods; Numerical Analysis; Numerisk analys;

    Sammanfattning : Stock options are priced numerically using space- and time-adaptive finite difference methods. European options on one and several underlying assets are considered. These are priced with adaptive numerical algorithms including a second order method and a more accurate method. LÄS MER

  3. 3. Essays on valuation of manufacturing flexibility : an option-pricing theory approach

    Detta är en avhandling från Linköping : Linköpings universitet

    Författare :Jens Bengtsson; [2000]

    Sammanfattning : Flexibility in manufacturing operations is becoming increasingly more important to industrial firms due to e.g. increasing product demand volatility, internationalisation of markets and competition, and shorter product life cycles. LÄS MER

  4. 4. Option Pricing and Bayesian Learning

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Ola Jönsson; [2007]
    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

  5. 5. Payment Efficiency and Payment Pricing : Four Essays

    Detta är en avhandling från Göteborg : Bokförlaget BAS

    Författare :Magnus Willesson; Ted Lindblom; Björn Lantz; Mats Bergman; [2007]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; payments; bank; efficiency; pricing; technical change; two-sided networks; price bundling; Economy; Ekonomi; Economics; Nationalekonomi; Business administration; Företagsekonomi;

    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