Search for dissertations about: "BLACK-SCHOLES MODEL"

Showing result 1 - 5 of 16 swedish dissertations containing the words BLACK-SCHOLES MODEL.

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

   Author : Hans-Peter Bermin; Nationalekonomiska institutionen; []
   Keywords : 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;

   Abstract : 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. READ MORE

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

   Author : Georgios Foufas; Göteborgs universitet; []
   Keywords : 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;

   Abstract : In this thesis we develop an adaptive finite element method 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. READ MORE

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

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

   Abstract : 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. READ MORE

6. 4. Calibration and Hedging in Finance

   Author : Love Lindholm; Anders Szepessy; Erik Lindström; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; finance; local volatility; calibration; optimal control; hedging; quadratic hedging; equity; index; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Abstract : This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper).Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. READ MORE

7. 5. Numerical methods for the calibration problem in finance and mean field game equations

   Author : Love Lindholm; Anders Szepessy; Lina von Sydow; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : This thesis contains five papers and an introduction. The first four of the included papers are related to financial mathematics and the fifth paper studies a case of mean field game equations. READ MORE