Search for dissertations about: "options pricing"

Showing result 1 - 5 of 57 swedish dissertations containing the words options pricing.

  2. 1. Essays on Financial Options : Employee Stock Options and Reinsurance Pricing

    Author : Kamil Kladivko; Jonas Andersson; Knut Aase; Mihail Zervos; Örebro universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE

  4. 2. On the pricing equations of some path-dependent options

    Author : Jonatan Eriksson; Johan Tysk; Maciej Klimek; Tomas Björk; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; Parabolic partial differential equations; variational inequalities; American options; barrier options; monotonicity in the volatility; turbo warrants; pricing formulas; Matematisk analys; Mathematical analysis; Analys;

    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

  5. 3. Essays on Lookback and Barrier Options - A Malliavin Calculus Approach

    Author : Hans-Peter Bermin; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Girsanov transformations.; lookback options; Contingent claims; barrier options; hedging; pricing; arbitrage; complete markets; self-financing portfolios; Black-Scholes formula; Clark-Ocone formula; Malliavin calculus; Financial science; Finansiering;

    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

  6. 4. On the pricing of barrier options and related problems

    Author : Per Hörfelt; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; barrier options; discrete barrier options; rabate options; Brownian motion; heavy traffic approximation; random walk; trinomial method; explicit finite difference method; heat equation; discrete barrier options;

    Abstract : .... READ MORE

  7. 5. Essays on VIX Futures and Options

    Author : Bujar Huskaj; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    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