Search for dissertations about: "assumptions of black-scholes model"
Found 4 swedish dissertations containing the words assumptions of black-scholes model.
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1. Valuation and hedging of long-term asset-linked contracts
Abstract : The five essays in this dissertation are all concerned with how commodity price uncertainty affects the valuation of real and financial assets. Focusing on the stochastic process approximating the price process of the commodity, a time-inhomogeneous mean reverting process is suggested and used in the valuation of a pulp mill. READ MORE
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2. 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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3. Essays on Financial Models
Abstract : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. READ MORE
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4. Essays on Financial Markets
Abstract : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. READ MORE