Search for dissertations about: "Options price model"
Showing result 1 - 5 of 45 swedish dissertations containing the words Options price model.
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1. Essays on VIX Futures and Options
Abstract : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. READ MORE
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2. Optimal Stopping and Model Robustness in Mathematical Finance
Abstract : Optimal stopping and mathematical finance are intimately connected since the value of an American option is given as the solution to an optimal stopping problem. Such a problem can be viewed as a game in which we are trying to maximize an expected reward. READ MORE
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3. On the pricing equations of some path-dependent options
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
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4. Essays on Lookback and Barrier Options - A Malliavin Calculus Approach
Abstract : This thesis consists of four theoretical essays on contingent claim analysis and its connection to Malliavin calculus. The first three papers are analyzed in the famous Black and Scholes model, while the setup of the fourth paper involves an international environment and the presence of exchange rates. READ MORE
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5. Selected Problems in Financial Mathematics
Abstract : This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. READ MORE