Search for dissertations about: "European Options"

Showing result 21 - 25 of 80 swedish dissertations containing the words European Options.

  2. 21. Regulatory Design of Capacity Remuneration Mechanisms in Regional and Low-Carbon Electric Power Markets

    Author : Paolo Mastropietro; Mehrdad Ghandhari; Carlos Batlle; Tomás Gómez San Román; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Capacity remuneration mechanisms; security of supply; system adequacy; design elements; regional market integration; reliability options; performance incentives; Electrical Engineering; Elektro- och systemteknik;

    Abstract : Capacity remuneration mechanisms (CRMs) are “climbing” regulatory agendas in all liberalised power sectors, especially in the European Union. CRMs are introduced to improve system reliability and to minimise power shortages to an economically efficient extent. These schemes will have a central role in future power systems. READ MORE

  4. 22. Accurate Finite Difference Methods for Option Pricing

    Author : Jonas Persson; Lina von Sydow; Per Lötstedt; Johan Tysk; Jari Toivanen; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Finite differences; Option pricing; Adaptive methods; Numerical Analysis; Numerisk analys;

    Abstract : Stock options are priced numerically using space- and time-adaptive finite difference methods. European options on one and several underlying assets are considered. These are priced with adaptive numerical algorithms including a second order method and a more accurate method. READ MORE

  5. 23. Optimal Stopping and Convergence of Option Rewards

    Author : Robin Lundgren; Dmitrii Silvestrov; Anatoliy Malyarenko; Kimmo Eriksson; Erik Ekström; Mälardalens högskola; []
    Keywords : ;

    Abstract : This thesis is based on two articles devoted to optimal stopping problems of American type options. In article A, we study the problem of optimal reselling for European options. The problem can be transformed to the problem of exercising an American option with two underlying. READ MORE

  6. 24. Convergence of Option Rewards

    Author : Robin Lundgren; Dmitrii Silvestrov; Kimmo Eriksson; Anatoliy Malyarenko; Johan Tysk; Mälardalens högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Applied mathematics; Tillämpad matematik; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : This thesis consists of an introduction and five articles devoted to optimal stopping problems of American type options. In article A, we get general convergence results for the American option rewards for multivariate Markov price processes. These results are used to prove convergence of tree approximations presented in papers A, B, C and E. READ MORE

  7. 25. Risk policy : trust, risk perception, and attitudes

    Author : Mattias Viklund; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : The role of trust in social, economic, political, and organizational relations is a research topic that has received much attention during the last decade. Trust has been considered a key variable in various contexts, although it should be noted that many theorists pay little attention to empirically testing their arguments about the importance of trust. READ MORE