Search for dissertations about: "Capital Asset Pricing Model"

Showing result 6 - 6 of 6 swedish dissertations containing the words Capital Asset Pricing Model.

  1. 6. Pricing of Some Path-Dependent Options on Equities and Commodities

    University dissertation from Göteborg

    Author : Mats Kjaer; Göteborgs universitet.; Gothenburg University.; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cliquet options with global floor; Commodity swing options; Storage valuation; Correlation matrix modelling; Bachelier-Samuelson model; Jump-diffusion models; Futures curve models; Parabolic PDE PIDEs; Numerical integration; Finite difference methods.;

    Abstract : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. READ MORE