Search for dissertations about: "European Options"

Showing result 1 - 5 of 68 swedish dissertations containing the words European Options.

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

    Author : Jonatan Eriksson; Johan Tysk; Maciej Klimek; Tomas Björk; Uppsala universitet; []
    Keywords : 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;

    Abstract : This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. READ MORE

  2. 2. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities

    Author : Betuel Canhanga; Sergei Sivestrov; Anatoliy Malyarenko; Ying Ni; Milica Rancic; Raimondo Manca; Mälardalens högskola; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; Asymptotic Expansion; European Options; Stochastic Volatilities; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. READ MORE

  3. 3. Geometallurgical study of historical tailings from the Yxsjöberg tungsten mine in Sweden : Characterization and reprocessing options

    Author : Jane Mulenshi; Jan Rosenkranz; Saeed Chehreh Chelgani; Pablo Brito-Parada; Luleå tekniska universitet; []
    Keywords : ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Critical raw materials; Historical tailings; Tungsten; Scheelite; Geometallurgical approach; Characterization; Beneficiation; Reprocessing; Gravity separation; Magnetic separation; Flotation; Mineral Processing; Mineralteknik; Centrumbildning - Centrum för avancerad gruvteknik och metallurgi CAMM ; Centre - Centre for Advanced Mining Metallurgy CAMM ;

    Abstract : Tungsten (W) is listed among the European Union (EU) critical raw materials (CRMs) for its supply risk and economic importance. Primarily, tungsten is produced from scheelite and wolframite mineral ores with 0.08-1.5% tungsten trioxide (WO3) grade. READ MORE

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

    Author : Mats Kjaer; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    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

  5. 5. Valuation and Optimal Strategies in Markets Experiencing Shocks

    Author : Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

    Abstract : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. READ MORE