Search for dissertations about: "Dissertation on options pricing"

Showing result 1 - 5 of 6 swedish dissertations containing the words Dissertation on options pricing.

  2. 1. Essays on Derivatives and Liquidity

    Author : Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; företagsekonomi; Business Administration;

    Abstract : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. READ MORE

  4. 2. Real options in real estate

    Author : Åke Gunnelin; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; real options; property; real estate; realestate economics; appraisal; landvaluation; income property; overbuilding.; Building engineering; Byggnadsteknik;

    Abstract : This is a doctoral dissertation presented to the FacultyBoard of the Royal Institute of Technology. The dissertationconsists of three self-contained essays on real option pricing.Essay I, written in Swedish, was presented at seminar andaccepted as fulfilling the requirement for a Licentiate Degreein Engineering thesis in 1995. READ MORE

  5. 3. Decomposing the Option Pricing Problem : Estimating the Causal Factors: Interest Rates, Dividends, and Risk-Neutral Probabilities

    Author : Pontus Söderbäck; Jörgen Blomvall; Martin Singull; Stein-Erik Fleten; Linköpings universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : The financial markets have an essential role in society. Further, these markets are constantly evolving. Therefore, models and methods have to be developed and adapted to the new market conditions to be useful for decisions. READ MORE

  6. 4. Essays in real estate finance

    Author : Eric Clapham; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : dissertation contains seven papers. The first five are in the field of real estate finance, while the final two are asset pricing papers. The first paper explores equilibrium properties of lease rates. The framework is based on the concept of the term structure of lease rates, or the equilibrium rate as a function of lease length. READ MORE

  7. 5. A new non-linear GARCH model

    Author : Gustaf E. Hagerud; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This dissertation contains four papers in the field of financial econometrics. In the first paper, A Smooth Transition ARCH Model for Asset Returns, a new class of ARCH models is introduced. The model class allows for non-linearity in the equation for the conditional variance. READ MORE