Search for dissertations about: "European Options"

Showing result 6 - 10 of 80 swedish dissertations containing the words European Options.

  2. 6. 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

  4. 7. Radial basis function methods for pricing multi-asset options

    Author : Victor Shcherbakov; Elisabeth Larsson; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

    Abstract : The price of an option can under some assumptions be determined by the solution of the Black–Scholes partial differential equation. Often options are issued on more than one asset. In this case it turns out that the option price is governed by the multi-dimensional version of the Black–Scholes equation. READ MORE

  5. 8. On the Pricing of Path-Dependent Options and Related Problems

    Author : Per Hörfelt; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Scholes model. The thesis focuses mainly on the three different classes of path-dependent options: barrier, Asian, and lookback options. The thesis consists of eight chapters. READ MORE

  6. 9. Research and reflections on European air pollution policy support models

    Author : Stefan Åström; Chalmers tekniska högskola; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; Economic perspectives; Decomposition analysis; Policy support modelling; Short-lived Climate Pollutants; Climate metrics; Air pollution; International shipping; Economic methodology; Integrated assessment modelling; Cost-benefit analysis;

    Abstract : European emissions to air of SO2, NOx, PM2.5, NH3 and NMVOC still today cause harm to human health and the environment. These pollutants are associated with the premature death of ~400 000 people annually in the EU (25 000 perished in traffic accidents 2017). Improvements are expected but problems will persist. READ MORE

  7. 10. Semi-Markov Models for Insurance and Option Rewards

    Author : Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

    Abstract : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. READ MORE