Search for dissertations about: "Option pricing"

Showing result 1 - 5 of 52 swedish dissertations containing the words Option pricing.

  1. 1. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction

    Author : Georgios Foufas; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    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

  2. 2. Accurate Finite Difference Methods for Option Pricing

    Author : Jonas Persson; Lina von Sydow; Per Lötstedt; Johan Tysk; Jari Toivanen; Uppsala universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; 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

  3. 3. Essays on valuation of manufacturing flexibility : an option-pricing theory approach

    Author : Jens Bengtsson; Linköpings universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP;

    Abstract : Flexibility in manufacturing operations is becoming increasingly more important to industrial firms due to e.g. increasing product demand volatility, internationalisation of markets and competition, and shorter product life cycles. READ MORE

  4. 4. Option Pricing and Bayesian Learning

    Author : Ola Jönsson; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Bayesian learning; Volatility smile; Economics; Polya urn model; economic theory; econometrics; economic systems; Nationalekonomi; economic policy; Finansiering; Financial science;

    Abstract : This thesis consists of three chapters devoted to both empirical and theoretical aspects of option pricing. The first chapter investigates the market for European options on the Swedish OMX index using daily data for the period 1993-2000. READ MORE

  5. 5. 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 : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; 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