Relevant bibliographies by topics / Black-Scholes PDE / Dissertations / Theses
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Dissertations / Theses on the topic 'Black-Scholes PDE'

Author: Grafiati
Published: 4 June 2021
Last updated: 26 April 2022

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1

Yang, Yuankai. "Pricing American and European options under the binomial tree model and its Black-Scholes limit model." Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-68264.

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We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps,  convergence of the stock prices and the option prices are obtained as N-> infinite. The obtained convergence is the Black-Scholes model and, for the particular case of European call option, the Black-Scholes formula is obtained. Furthermore, the Black-Scholes partial differential equation is obtained as a limit from the N step binomial tree model. Pricing of American put option under the Black-Scholes model is obtained as a limit from the N step binomial tree model. With this thesis, option pricing under the Black-Scholes model is achieved not by advanced stochastic analysis but by elementary, easily understandable probability computation. Results which in elementary books on finance are mentioned briefly are here derived in more details. Some important Java codes for N step binomial tree option prices are constructed by the author of the thesis.
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2

Pagliarani, Stefano. "Metodi perturbativi per E.D.P e applicazioni in finanza matematica." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2010. http://amslaurea.unibo.it/1392/.

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In questa tesi si discute di alcuni modelli di pricing per opzioni di tipo europeo e di opportuni metodi perturbativi che permettono di trovare approssimazioni soddisfacenti dei prezzi e delle volatilità implicite relative a questi modelli.
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3

Constantin, Robert, and Denis Gerzic. "An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans." Thesis, Linköpings universitet, Produktionsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-153259.

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In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. We conclude, with certainty, that there are many alternatives for funding and that they each need to be analysed and compared on many levels to be able to make a correct decision as to which ones to choose. An important part of this is to consider the implications of the newest regulations and risk exposure, as it might greatly influence the final price for contracts. Between the cases that we considered, the SEK bond was the one with the lowest resulting spread, and the one which is the simplest considering the collateral involved. While other alternatives might be better depending on how profitable it is for the municipality to receive collateral, the SEK bond is the most transparent one and with least risk involved.
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4

Fischbach, Pascal. "Derivate für FX-Absicherungen." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05608120001/$FILE/05608120001.pdf.

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5

Wilkens, Sascha. "Optionsbewertung und Risikomanagement unter gemischten Verteilungen : theoretische Analyse und empirische Evaluation am europäischen Terminmarkt /." Wiesbaden : Dt. Univ.-Verl, 2003. http://www.gbv.de/dms/zbw/372731589.pdf.

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6

Zufferey, Yannick. "Contrôle combiné stochastique et stratégies d'entreprise /." [S.l.] : [s.n.], 2002. http://www.gbv.de/dms/zbw/361237359.pdf.

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7

Furrer, Marc. "Numerical Accuracy of Least Squares Monte Carlo." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01650217002/$FILE/01650217002.pdf.

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8

Duan, Fangjing. "Option pricing models and volatility surfaces." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03607991001/$FILE/03607991001.pdf.

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9

Jönsson, Ola. "Option pricing and Bayesian learning /." Lund: Univ., Dep. of Economics, 2007. http://www.gbv.de/dms/zbw/541563130.pdf.

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10

Gruber, Alfred. "A taxonomy of risk-neutral distribution methods : theory and implementation /." [S.l. : s.n.], 2003. http://www.gbv.de/dms/zbw/362419094.pdf.

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11

Rossini, Eugenio. "Deep Learning and Nonlinear PDEs in High-Dimensional Spaces." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2018. http://amslaurea.unibo.it/16859/.

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Questa tesi è incentrata sull'analisi di un algoritmo che permette di approssimare una soluzione per PDE ad alta dimensionalità. Tale algoritmo utilizza le nuove tecniche sviluppate in ambito della teoria delle Reti Neurali (Deep Learning) per affrontare un problema di difficile risoluzione. Il problema principale che affligge i modelli governati da PDE semilineari paraboliche in dimensione 100 prende il nome di "maledizione della dimensionalità". Questo non permette di utilizzare algoritmi deterministici come Galerkin o Elementi Finiti, poichè il costo computazionale cresce esponenzialmente rispetto alla dimensione del problema. La non linearità invece rende impossibile l'utilizzo di metodi probabilistici di tipo Monte Carlo. L'introduzione di algoritmi di Machine Learning permette di superare questi problemi con facilità e con ottimi risultati. Le performance di questo algoritmo sono state testate su un problema pratico di finanza matematica: la risoluzione dell'equazione di Black e Scholes per il prezzo delle opzioni Europee con rischio di default.
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12

Landolt, Beatrice. "Value to Executives von Options- und Aktienbeteiligungsplänen." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/99905176001/$FILE/99905176001.pdf.

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13

Wallmeier, Martin. "Der Informationsgehalt von Optionspreisen /." Heidelberg : Physica-Verlag, 2003. http://aleph.unisg.ch/hsgscan/hm00084724.pdf.

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14

Stettler, Matthias. "KMU-Finanzierung mit Mezzanine-Kapital Produktgestaltung und Prozesse /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03906229001/$FILE/03906229001.pdf.

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15

Huang, Zhijiang. "Three essays on asset pricing and risk management /." 2007. http://www.gbv.de/dms/zbw/548629447.pdf.

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16

Yu, Jialin. "Three essays on financial econometrics /." 2005. http://www.gbv.de/dms/zbw/547361831.pdf.

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