Search for dissertations about: "option pricing derivatives"

Showing result 1 - 5 of 13 swedish dissertations containing the words option pricing derivatives.

2. 1. 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. 2. Radial Basis Function generated Finite Difference Methods for Pricing of Financial Derivatives

   Author : Slobodan Milovanović; Lina von Sydow; Bertram Düring; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Radial basis function; Finite difference; Computational finance; Pricing of financial derivatives; Option pricing; Partial differential equation; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

   Abstract : The purpose of this thesis is to present state of the art in radial basis function generated finite difference (RBF-FD) methods for pricing of financial derivatives. This work provides a detailed overview of RBF-FD properties and challenges that arise when the RBF-FD methods are used in financial applications. READ MORE

5. 3. Essays on expectations and financial markets

   Author : Staffan Lindén; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Survey; Inflation; Expectations; Perceptions; Rational; Inattentive; Event study; Option introduction; Stock market; Asset pricing; Price effect; Risk effect; Derivatives;

   Abstract : This thesis is a collection of three empirical papers that tests hypotheses within the context of two related and intersecting theoretical frameworks: rational expectations and efficient markets. The aim is to empirically explore to what extent households form their inflation expectations in a rational manner, and to explain why households’ perceptions may deviate from the measured official rate. READ MORE

6. 4. Modelling Weather Dynamics for Weather Derivatives Pricing

   Author : Emanuel Evarest Sinkwembe; Martin Singull; Xiangfeng Yang; Fredrik Berntsson; Erik Lindström; Linköpings universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : This thesis focuses on developing an appropriate stochastic model for temperature dynamics as a means of pricing weather derivative contracts based on temperature. There are various methods for pricing weather derivatives ranging from simple one like historical burn analysis, which does not involve modeling the underlying weather variable to complex ones that require Monte Carlo simulations to achieve explicit weather derivatives contract prices, particularly the daily average temperature (DAT) dynamics models. READ MORE

7. 5. Topics in importance sampling and derivatives pricing

   Author : Johan Nykvist; Filip Lindskog; Bert Zwart; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Abstract : This thesis consists of four papers, presented in Chapters 2-5, on the topics of derivatives pricing and importance sampling for stochastic processes.In the first paper a model for the evolution of the forward density of the future value of an asset is proposed. READ MORE