Searched for: subject:"option%5C%2Bpricing"
(1 - 16 of 16)
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Roest, Raoul (author)
In tegenstelling tot een Europese optie, is de prijs van een Amerikaanse optie vaak niet te berekenen met behulp van standaard analysemethoden. Om toch een optieprijs te kunnen bepalen, wordt er gebruik gemaakt van simulatiemethoden. In stochastische modellen, gebaseerd op zogenoemde arbitragevrije prijsbepalingen, is de optieprijs gelijk aan de...
bachelor thesis 2017
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van Dijk, Marcel (author)
In risk-management, one typically simulates many states of the market using models that are in line with historical data, also known as real-world models. For example, new regulations require insurance companies to value their position on a 1-year horizon. Insurance companies issue guarantees that need to be valued according to market...
master thesis 2017
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Wagner, Emma (author)
This work is on the extension of the SWIFT method to option pricing problems where the sum of lognormals occurs. The SWIFT method (ShannonWavelet Inverse Fourier Technique) is extended to the valuation of geometric Asian options and arithmetic Asian options with a Lévy process as underlying price process and the valuation of European options...
master thesis 2017
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Draijer, Mats (author)
The aim of this thesis is to provide a formula for the value of a correlation swap. To get to this formula, a model from an article by Bossu is inspected and its resulting expression for fair the fair value of a correlation swap is simulated. The Jacobi process will be defined and two discretization schemes will be compared for it. Methods are...
bachelor thesis 2017
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van der Weijst, Roel (author)
This thesis is about pricing European options and forward start options under the Heston LSV model. The impact of conditionally calibrating the Heston parameters on the satisfaction of the Feller condition and thereafter correcting with a local volatility surface is investigated here. The results show that this approach is computationally time...
master thesis 2017
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van der Zwaard, T. (author)
This thesis addresses the calibration of the Heston model with term structure (i.e. with piecewise constant parameters) to a set of European option prices from the FX market. Several option pricing methods are discussed and compared, among which the COS method, Lewis' method and the Andersen QE Monte Carlo scheme. Several modifications are...
master thesis 2016
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Schols, E. (author)
This thesis discusses the valuation of embedded options in insurance liabilities using radial basis functions. For insurance companies, the valuation of embedded options is an important topic within risk management. This valuation can become too computationally heavy when nested Monte Carlo simulations are used. To overcome this computational...
master thesis 2016
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Hazenoot, D. (author)
Numerical integration methods such as the Fourier-based COS method can be used for effciently and accurately pricing financial products. The COS method can be applied to options on one underlying stock as well as on multiple underlying stocks. However, this method suffers from an exponential increase in computational complexity as the dimensions...
master thesis 2016
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Van Tol, L.J.M. (author)
This thesis deals with pricing options on natural gas under a regime-switching model. First of all, a regime-switching model for natural gas is considered. Hereafter, historical gasdata are examined to find a model which fits the data. Next, a system of PDE's is derived in order to price an option under the regime-switching model. Finally,...
bachelor thesis 2015
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Maree, S.C. (author)
This thesis is about pricing Bermudan options with the SWIFT method (Shannon Wavelets Inverse Fourier Technique). We reformulate the SWIFT pricing formula for European options to improve robustness, which allows us to heuristically select - and test the goodness - of all of the parameters a priori. Furthermore, we propose a simplified version of...
master thesis 2015
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Van der Have, Z. (author)
In this thesis we discuss several methods to price European options under the SABR model. In general, methods given in literature are not free of arbitrage and/or inaccurate for long maturities. This led to the development of a new pricing approach. We extend the BCOS method from one dimension to two dimensions. This extension is necessary for...
master thesis 2015
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De Jong, M.D. (author)
This thesis describes FPGA-accelerated Monte-Carlo integration using adaptive stratified sampling. Monte-Carlo integration can be used to determine the value of integrals that have no closed form solution. In this work, the FPGA-accelerated design is used to determine the price of different types of financial options. The considered options are...
master thesis 2014
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Huijskens, T.P. (author)
This thesis starts by discussing the foundations of mathematical finance and some theoretical results on backward stochastic differential equations. We discuss some examples of these equations in mathematical finance (primarily option pricing) and develop a numerical method that can approximate solutions to these equations. Subsequently, we...
bachelor thesis 2013
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Tamayo Holguin, J.P. (author)
Transnational transmission presents a possible source of income for power producers and a way to decrease costs for consumers. The difference in neighboring countries' market prices encourages traders to profit from it by selling cheaper electricity in the market that has price it higher. Since the parties that own the transmission (TSOs) lines...
master thesis 2012
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Versteegh, M. (author)
There are situations in which the COS method for option pricing has relatively slow convergence as a consequence of the Gibbs phenomenon. This thesis focusses on various methods to improve the convergence rate of the so called spectral methods. Note that we are not just interested in an accurate recovery, but that we also want to be able to...
master thesis 2012
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De Jong, L. (author)
This thesis discusses the use of perturbation theory in the context of financial mathematics, in particular on the use of matched asymptotic expansions in option pricing. Our methods are applied to the ordinary Black-Scholes model for illustration. In this simple example of the Black-Scholes model an exact solution is available, so it is in fact...
master thesis 2010
Searched for: subject:"option%5C%2Bpricing"
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