Sökning: "pricing formulas"

Hittade 3 avhandlingar innehållade orden pricing formulas.

  1. 1. On the pricing equations of some path-dependent options

    Författare :Jonatan Eriksson; Johan Tysk; Maciej Klimek; Tomas Björk; Uppsala universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; Parabolic partial differential equations; variational inequalities; American options; barrier options; monotonicity in the volatility; turbo warrants; pricing formulas; Matematisk analys; Mathematical analysis; Analys;

    Sammanfattning : This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. LÄS MER

  3. 2. Pricing Portfolio Credit Derivatives

    Författare :Alexander Herbertsson; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Portfolio credit risk; intensity-based models; dynamic dependence modelling; default contagion; CDS; synthetic CDO tranches; index CDS; k-th-to-default swaps; CDS-correlation; default-correlation; Markov jump processes; multivariate phase-type distributions; matrix-analytic methods;

    Sammanfattning : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. LÄS MER

  4. 3. On the Pricing of Path-Dependent Options and Related Problems

    Författare :Per Hörfelt; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :;

    Sammanfattning : The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Scholes model. The thesis focuses mainly on the three different classes of path-dependent options: barrier, Asian, and lookback options. The thesis consists of eight chapters. LÄS MER