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Dissertations / Theses on the topic 'Black Scholes'

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Published: 4 June 2021

Last updated: 25 July 2025

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1

Cantaloni, Francesco. "Formula di Black-Scholes comportamentale." Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2019.

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In questa trattazione verranno descritte alcune espressioni generali di valutazione per le opzioni che estendono i risultati classici di Black-Scholes e Merton all'ambito comportamentale. Dapprima mostreremo come estendere la nozione di agente rappresentativo al caso in cui i partecipanti al mercato siano caratterizzati da una funzione di utilità con avversione al rischio relativa costante ed eterogenea. Dopo aver presentato il teorema di esistenza dell'agente rappresentativo, deriveremo le principali implicazioni in termini di struttura a termine dei tassi di sconto e di valutazione degli str

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del, Campo Daniel, and Fredrik Söderström. "Black & Scholes vs. Marknaden." Thesis, Södertörn University College, School of Business Studies, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-165.

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3

Chávez, Fuentes Jorge Richard. "El modelo de Black-Scholes." Pontificia Universidad Católica del Perú, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/96422.

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Se presenta el modelo de Black-Scholes, a través del más popular de los contratos financieros, esto es, la opción de compra europea. Se establece la fórmula de valuación martingala para reclamos contingentes en general y se muestra una aplicación de ella mediante la obtención del precio del contrato call. Al final se establece también la ecuación de Black-Scholes, que es una ecuación diferencial parcial no lineal de segundo orden, y que constituye una forma alternativa para la preciación de activos derivados.

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4

Pavlou, Petro. "KVA in Black Scholes Pricing." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30880.

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The post 2007-financial crisis era has led to renewed zeal in quantifying market incompleteness when pricing contingent claims. This quantification exercise is necessary in maintaining a stable and sustainable banking operation and thus the XVAs have emerged as the metrics for market incompleteness. This dissertation focuses solely on the capital valuation adjustment (KVA) and aims to use the definition of KVA as set out by Albanese et al. (2016) in an investigation of different numerical techniques for calculating KVA. A single equity forward is considered first, followed by an equity option

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Lindström, Linnea. "Black-Scholes : En prissättningsmodell för optioner." Thesis, Umeå University, Department of Mathematics and Mathematical Statistics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-35084.

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<p>This paper aims to derive the Black-Scholes equation for readers without advanced knowledge in finance and mathematics. To succeed, this paper contains a theoretical chapter in which concepts such as options, interest rate, differential equations and stochastic variable are explained. This paper also presents the theory of stochastic processes such as the Wiener process and Ito process. In the chapter on the Black-Scholes model the Ito process is used to describe price of shares and with the help of Ito's lemma Black-Scholes equation can be derived. In the paper, assumptions are listed that

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Karlsson, Olle. "The Black-Scholes Equation and Formula." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-200441.

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7

Durrell, Fernando. "Alternatives to the Black-Scholes model." Master's thesis, University of Cape Town, 2001. http://hdl.handle.net/11427/4881.

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Bibliography: leaves 44-45.<br>In this paper, I consider alternative models to the one posited by Black and Scholes. I consider discontinuous security price movements, non-constant volatility, and models very different from the Black-Scholes model. I found that most of the model prices for the close to at-the-money options are very different from the market prices. In general, the models did poorly in producing similar prices as the market.

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8

Coelho, Afonso Valente Ricardo de Seabra. "American options and the Black-Scholes Model." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20735.

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Mestrado em Mathematical Finance<br>Os problemas de apreçamento de opções têm sido um dos principais assuntos de em Matemática Financeira, desde a criação desse conceito nos anos 70. Mais especificamente, as opções americanas são de grande interesse nesta área do conhecimento porque são matematicamente muito mais complexas do que as opções europeias padrão e o modelo de Black-Scholes não fornece, na maioria dos casos, uma fórmula explícita para a determinação do preço deste tipo de opções. Nesta dissertação, mostramos como o estudo de opções americanas conduz à análise de problemas de frontei

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Bucic, Ida. "Heston vs Black Scholes stock price modelling." Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-105614.

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In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. Both models are analysed and simulated, and the parameters are estimated based on empirical data of S&P 500. Results are based on simulations and characteristic functions which are presented with figures of probability density functions.

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Andrén, August, and Patrik Hagernäs. "Data-parallel Acceleration of PARSEC Black-Scholes Benchmark." Thesis, KTH, Skolan för informations- och kommunikationsteknik (ICT), 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-128607.

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The way programmers has been relying on processor improvements to gain speedup in their applications is no longer applicable in the same fashion. Programmers usually have to parallelize their code to utilize the CPU cores in the system to gain a signicant speedup. To accelerate parallel applications furthermore there are a couple of techniques available. One technique is to vectorize some of the parallel code. Another technique is to move parts of the parallel code to the GPGPU and utilize this very good multithreading unit of the system. The main focus of this report is to accelerate the data

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11

Teka, Kubrom Hisho. "Parameter estimation of the Black-Scholes-Merton model." Kansas State University, 2013. http://hdl.handle.net/2097/15669.

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Master of Science<br>Department of Statistics<br>James Neill<br>In financial mathematics, asset prices for European options are often modeled according to the Black-Scholes-Merton (BSM) model, a stochastic differential equation (SDE) depending on unknown parameters. A derivation of the solution to this SDE is reviewed, resulting in a stochastic process called geometric Brownian motion (GBM) which depends on two unknown real parameters referred to as the drift and volatility. For additional insight, the BSM equation is expressed as a heat equation, which is a partial differential equation (PD

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12

Bonotto, Everaldo de Mello. "A equação de Black-Scholes com ação impulsiva." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/55/55135/tde-02072008-101527/.

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Impulsos são perturbações abruptas que ocorrem em curto espaço de tempo e podem ser consideradas instantâneas. E os mercados financeiros estão sujeitos a choques bruscos como mudanças de governos, quebra de empresas, entre outros. Assim, é natural considerarmos a ação de tais eventos na precificação de ativos financeiros. Nosso objetivo neste trabalho é obtermos uma formulação para a equação diferencial parcial de Black-Scholes com ação impulsiva de modo que os impulsos representem estes choques. Utilizaremos a teoria de integração não-absoluta em espaço de funções para obtenção desta formulaç

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13

Saleemi, Asima Parveen. "Finite Difference Methods for the Black-Scholes Equation." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48660.

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Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. The numerical solutions of the Black-Scholes equation are used to simulate these options. In this thesis, the explicit and the implicit Euler methods are used for the approximation of Black-scholes partial differential equation and a second order finite difference scheme is used

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Saadat, Sajedeh, and Timo Kudljakov. "Deterministic Quadrature Formulae for the Black–Scholes Model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54612.

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There exist many numerical methods for numerical solutions of the systems of stochastic differential equations. We choose the method of deterministic quadrature formulae proposed by Müller–Gronbach, and Yaroslavtseva in 2016. The idea is to apply a simplified version of the cubature in Wiener space. We explain the method and check how good it works in the simplest case of the classical Black–Scholes model.

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Ryhed, Erik, Per Thornadsson, and Gunnar Holm. "Warrantvärdering : En jämförelse mellan Monte-Carlo och Black-Scholes." Thesis, Örebro University, Department of Business, Economics, Statistics and Informatics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-1044.

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<p>Syftet med denna uppsats är att med tre GARCH-modeller skatta volatiliteten för fjorton aktier med t- och normalfördelade slumptermer. Dessa volatiliteter implementeras sedan i Black-Scholes modell samt i Monte-Carlo simuleringar och utfallen av dessa två värderingsmetoder jämförs.</p><p>Författarna har kommit fram till att GARCH-modeller behövs för att skatta volatiliteten för de aktier som ingår i arbetet då modellerna tar hänsyn till den föreliggande heteroskedasticiteten.</p><p>De skillnader som uppstår mellan Monte-Carlo simuleringar och Black-Scholes modell beror främst på skillnader

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16

Nuugulu, Samuel Megameno. "Fractional black-scholes equations and their robust numerical simulations." University of the Western Cape, 2020. http://hdl.handle.net/11394/7612.

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Philosophiae Doctor - PhD<br>Conventional partial differential equations under the classical Black-Scholes approach have been extensively explored over the past few decades in solving option pricing problems. However, the underlying Efficient Market Hypothesis (EMH) of classical economic theory neglects the effects of memory in asset return series, though memory has long been observed in a number financial data. With advancements in computational methodologies, it has now become possible to model different real life physical phenomenons using complex approaches such as, fractional differ

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Villeneuve, Stéphane. "Options américaines dans un modèle de Black-Scholes multidimensionnel." Marne-la-Vallée, 1999. http://www.theses.fr/1999MARN0043.

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Le but de cette these est l'etude des options americaines dans un modele de diffusion multi-dimensionnel. Mathematiquement, cette etude est liee a un probleme d'arret optimal a horizon fini ou non. La premiere partie s'interesse a la description du modele a la valorisation des options americaines comme solution d'une inequation variationnelle parabolique et a l'existence ou non d'une region d'arret plus communement appele region d'exercice en finance. Le premier chapitre fournit une condition necessaire et suffisante portant sur le generateur infinitesimal de la diffusion pour que la region d'

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Karlén, Anne, and Hossein Nohrouzian. "Lattice approximations for Black-Scholes type models in Option Pricing." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-21951.

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This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. Furthermore, the convergence of binomial model to normal distribution, Geometric Brownian Motion and Black-Scholes model isdiscussed. Finally, the connections and interrelations between discrete random variables under the Lattice approach and continuous random variables under models which follow Geometric Brownian Motion are discussed, compared and con

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Huaringa, Mosquera Luis Zacarías. "Ecuaciones diferenciales parciales aplicado a finanzas: modelo de black-scholes." Bachelor's thesis, Universidad Nacional Mayor de San Marcos, 2018. https://hdl.handle.net/20.500.12672/8372.

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Publicación a texto completo no autorizada por el autor<br>Desde su publicacion, el modelo Black – Scholes ha tenido un uso satisfactorio que ayuda en la toma de decisiones en sistemas financieros y empresas. Dicho modelo sirve para estimar el valor de las acciones a tiempo futuro, tanto en compra como venta, resolviendo una igualdad que sigue un movimiento browniano. Se busca resolver la ecuación en derivadas parciales de Black-Scholes, reduciéndola a través de un cambio de variables a la forma de una ecuación de calor la cual facilitará su desarrollo. Se pasará a resolver dicha ecuación usan

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Vakaloudis, Dmitri. "Application of Volatility Targeting Strategies within a Black-Scholes Framework." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31319.

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The traditional Black-Scholes (BS) model relies heavily on the assumption that underlying returns are normally distributed. In reality however there is a large amount of evidence to suggest that this assumption is weak and that actual return distributions are non-Gaussian. This dissertation looks at algorithmically generating a Volatility Targeting Strategy (VTS) which can be used as an underlying asset. The rationale here is that since the VTS has a constant prespecified level of volatility, its returns should be normally distributed, thus tending closer to an underlying that adheres to the a

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21

Au, Chi Yan. "Numerical methods for solving Markov chain driven Black-Scholes model." HKBU Institutional Repository, 2010. http://repository.hkbu.edu.hk/etd_ra/1154.

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Nohrouzian, Hossein, and Anne Karlén. "Lattice Approximations for Black-Scholes type models in Option Pricing." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-23511.

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This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. Furthermore, the convergence of the binomial model to normal distribution, Geometric Brownian Motion and Black-Scholes model is discussed. Finally, the connections and interrelations between discrete random variables under the Lattice approach and continuous random variables under models which follow Geometric Brownian Motion are discussed, compared an

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Mautner, Karin. "Numerical treatment of the Black-Scholes variational inequality in computational finance." [S.l.] : [s.n.], 2006. http://deposit.ddb.de/cgi-bin/dokserv?idn=983505780.

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Gustafsson, Jonas. "Värdering av Företags Totala Aktiekapital utifrån Black-Scholes Modell och Redovisningsdata." Thesis, Uppsala University, Department of Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7046.

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<p>I denna uppsats undersöks hur väl det går att värdera marknadsvärdet av företagets aktiekapital med hjälp av en modifierad Black-Scholes köpoptionsmodell. Tidigare undersökningar har gjorts bland annat i USA där man gjorde en studie på S & P100 och fick starka indikationer på att modellen väl förklarar marknadsvärdet av aktiekapitalet. Denna uppsats följer metoden som användes vid studien på S & P100 för att se om den även ger en hög förklaringsgrad på den svenska aktiemarknaden. Undersökningen genomförs med hjälp av redovisningsdata från samtliga bolag listade på A-listan vid Stockholmsbör

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Furtado, Susana Margarida Figueiredo de Sousa Borges. "Avaliação de opções : fundamentos e análise do modelo de black-scholes." Master's thesis, Instituto Superior de Economia e Gestão, 1994. http://hdl.handle.net/10400.5/19656.

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Saleh, Ali, and Ahmad Al-Kadri. "Option pricing under Black-Scholes model using stochastic Runge-Kutta method." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-53783.

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The purpose of this paper is solving the European option pricing problem under the Black–Scholes model. Our approach is to use the so-called stochastic Runge–Kutta (SRK) numericalscheme to find the corresponding expectation of the functional to the stochastic differentialequation under the Black–Scholes model. Several numerical solutions were made to study howquickly the result converges to the theoretical value. Then, we study the order of convergenceof the SRK method with the help of MATLAB.

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Banfi, del Río Pablo, Finsterbusch Maximiliano Correa, Diez Ricardo Romero, and Jensen Ricardo Wechsler. "Análisis de la capacidad predictiva del modelo de Black and Scholes." Tesis, Universidad de Chile, 2003. http://repositorio.uchile.cl/handle/2250/108217.

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Seminario para optar al título de Ingeniero Comercial<br>El objetivo de este trabajo es analizar la capacidad predictiva del modelo desarrollado por Black y Scholes. Para este propósito se testeó la capacidad de diversos modelos autoregresivos, además de un modelo multivariable y otro ingenuo. Las conclusiones se detallan a nivel de acción, modelo, sector y vencimiento. El modelo que obtuvo los mejores resultados a nivel promedio fue el Arima recursivo seguido por el Arima rolling. Durante el desarrollo del trabajo surgieron objetivos secundarios, uno de estos fue verificar si realmente el mer

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Mautner, Karin. "Numerical treatment of the Black-Scholes variational inequality in computational finance." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2007. http://dx.doi.org/10.18452/15595.

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In der Finanzmathematik hat der Besitzer einer amerikanische Option das Recht aber nicht die Pflicht, eine Aktie innerhalb eines bestimmten Zeitraums, für einen bestimmten Preis zu kaufen oder zu verkaufen. Die Bewertung einer amerikanische Option wird als so genanntes optimale stopping Problem formuliert. Erfolgt die Modellierung des Aktienkurses durch eine geometrische Brownsche Bewegung, wird der Wert einer amerikanischen Option durch ein deterministisches freies Randwertproblem (FRWP), oder einer äquivalenten Variationsungleichung (VU) auf ganz R in gewichteten Sobolev Räumen gegebe

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Mawah, Bernard. "Option pricing with transaction costs and a non-linear Black-Scholes equation." Thesis, Uppsala University, Department of Mathematics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120920.

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Österholm, Göran. "EMPIRISK STUDIE AV BLACK-SCHOLES PRISSÄTTNINGSMODELL : OMXS30-OPTIONERS PRISRÖRELSER OCH DELTA HEDGING." Thesis, Uppsala University, Department of Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7665.

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<p>I uppsatsen studeras diskrepansen mellan Black-Scholes prissättningsmodell och prissättningen på marknaden för OMXS30-optioner – i ett delta hedging-perspektiv.</p><p>Resultaten i uppsatsen antyder att Black-Scholes modell ger för höga D -värden för OMXS30 köpoptioner och likaså ger modellen för höga D -värden för OMXS30 säljoptioner gentemot verkligheten, under testperioden.</p>

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Hussain, Zahid, Muhammad Sulaiman, and Edward K. E. Sackey. "Optimal System of Subalgebras and Invariant Solutions for the Black-Scholes Equation." Thesis, Blekinge Tekniska Högskola, Sektionen för ingenjörsvetenskap, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-2817.

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The main purpose of this thesis is to use modern goal-oriented adaptive methods of Lie group analysis to construct the optimal sys- tem of Black-Scholes equation. We will show in this thesis how to obtain all invariant solutions by constructing what has now become so popular, optimal system of sub-algebras, the main Lie algebra admit- ted by the Black-Scholes equation. First, we obtain the commutator table of already calculated symmetries of the Black-Scholes equation. We then followed with the calculations of transformation of the gen- erators with the Lie algebra L6 which provides one-parame

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Oga, Luis Fernando. "A teoria da ciência no modelo Black-Scholes de apreçamento de opções." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/8/8133/tde-18032008-132755/.

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O presente trabalho pretende introduzir uma visão das Finanças sob o aspecto da Filosofia da Ciência. Para permitir um estudo mais detalhado, optou-se por utilizar um dos modelos mais utilizados em Finanças, o modelo Black-Scholes de apreçamento de opções, e situá-lo dentro do campo de aplicação da Filosofia da Ciência. Primeiramente buscou-se, antes de entrar numa análise do texto original que apresentou o modelo, contextualizá-lo no campo da Economia e das Finanças e reconstruir historicamente suas bases conceituais. Em seguida são apresentados alguns dos elementos principais que caracteriza

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Costa, Thadeu Antonio Ferreira de Melo. "Coprojeto hardware/software das equações de Black-Scholes para precificação de opções no mercado financeiro." Universidade de São Paulo, 2018. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-19102018-102741/.

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Este trabalho apresenta a implementação em hardware das Equações de Black-Scholes para precificação de opções usando Método de Monte Carlo. A implementação foi feita em OpenCL compatível com FPGAs recentes da Altera/Intel. Essa implementação é modular e permite a utilização de diferentes geradores de números aleatórios em configurações diferentes de software e hardware. A proposta é que essas implementações possam aproveitar as vantagens de cada componente, resultando em uma maior quantidade de simulações e por consequência melhorando a precisão dos resultados.<br>This paper presents the hardw

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Uhliarik, Marek. "Operator Splitting Methods and Artificial Boundary Conditions for a nonlinear Black-Scholes equation." Thesis, Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-6111.

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There are some nonlinear models for pricing financial derivatives which can improve the linear Black-Scholes model introduced by Black, Scholes and Merton. In these models volatility is not constant anymore, but depends on some extra variables. It can be, for example, transaction costs, a risk from a portfolio, preferences of a large trader, etc. In this thesis we focus on these models. In the first chapter we introduce some important theory of financial derivatives. The second chapter is devoted to the volatility models. We derive three models concerning transaction costs (RAPM, Leland's and

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Lee, Chi-ming Simon, and 李志明. "A study of Hong Kong foreign exchange warrants pricing using black-scholes formula." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1992. http://hub.hku.hk/bib/B3126542X.

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Núñez, Vargas Sandra Isabel. "Adaptación del modelo Black-Scholes en la simulación de un portafolio de acciones." Bachelor's thesis, Pontificia Universidad Católica del Perú, 2009. http://tesis.pucp.edu.pe/repositorio/handle/123456789/298.

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El modelo de Black-Scholes fue publicado en 1973. Para este modelo, el movimiento browniano geométrico está asociado a la dinámica de los precios de las acciones, la cual está descrita por una ecuación diferencial estocástica. Este modelo tiene debilidades que están relacionadas a la inexactitud de sus presunciones con respecto a lo que sucede en el mercado de valores y a los factores externos que son incontrolables. Por ello, se ha realizado un estudio de mejora del mismo, para lo cual se ha escogido cuatro empresas que son representativas del mercado de valores del país. Se ha planteado cuat

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Hassan, Shakill. "The Black-Scholes model and the pricing of stock options in South Africa." Master's thesis, University of Cape Town, 1999. http://hdl.handle.net/11427/14302.

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Bibliography: leaves 52-54.<br>Option Pricing Theory (OPT), along with the Capital Asset Pricing Model, the Theory of Capital Structure, and the Efficient Markets Hypothesis, form one of the pillars of modem finance theory. Central to OPT is the Black-Scholes model, the first option pricing model derived within a general equilibrium framework, and therefore consistent with all arbitrage conditions an asset pricing model must satisfy. An attempt is made at explaining this model, and the first part of the paper is devoted to this objective. The appreciation of the theoretical elegance of the Bla

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Lee, Chi-ming Simon. "A study of Hong Kong foreign exchange warrants pricing using black-scholes formula /." [Hong Kong] : University of Hong Kong, 1992. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13302838.

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Kolesnichenko, Anna, and Galina Shopina. "Valuation of portfolios under uncertain volatility : Black-Scholes-Barenblatt equations and the static hedging." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1634.

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<p>The famous Black-Scholes (BS) model used in the option pricing theory</p><p>contains two parameters - a volatility and an interest rate. Both</p><p>parameters should be determined before the price evaluation procedure</p><p>starts. Usually one use the historical data to guess the value of these</p><p>parameters. For short lifetime options the interest rate can be estimated</p><p>in proper way, but the volatility estimation is, as well in this case,</p><p>more demanding. It turns out that the volatility should be considered</p><p>as a function of the asset prices and time to make the valuati

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Prudente, Leandro da Fonseca 1985. "Estimação da superficie de volatilidade dos ativos atraves da equação de Black-Scholes generalizada." [s.n.], 2009. http://repositorio.unicamp.br/jspui/handle/REPOSIP/307442.

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Orientador: Jose Mario Martinez<br>Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Computação Cientifica<br>Made available in DSpace on 2018-08-13T04:59:49Z (GMT). No. of bitstreams: 1 Prudente_LeandrodaFonseca_M.pdf: 2877541 bytes, checksum: c2a57346fe1ba93469b385a71de6c2da (MD5) Previous issue date: 2009<br>Resumo: Nesta dissertação expomos algumas propriedades das opções e desenvolvemos a teoria clássica que resulta na Equação de Black-Scholes Generalizada, o modelo utilizado no mercado para precificar uma opção. Neste cenário apresentamo

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Ferreira, Fausto Junior Martins. "Fatores de risco adaptados de taxa de câmbio no modelo de Black e Scholes." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/3/3142/tde-12072016-113756/.

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Este trabalho apresenta uma metodologia de cálculo de sensibilidades utilizando equa- ções analíticas, levando em a conta a correção de smile na superfície de volatilidade, que não é contemplada no modelo de Black e Scholes. Dada a diferença signicativa na mensura ção do risco as instituições nanceiras calculam suas sensibilidades incorporando esta correção, mas tal determinação tem sido realizada por métodos numéricos, que acabam sendo mais lentos que a abordagem aqui proposta. São apresentadas equações analíticas para as principais sensibilidades do modelo a partir de dados de mercado usados

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Rich, Don R. "Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory." Diss., This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-06062008-171359/.

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Salomão, Martinho. "Precificação de opções financeiras: um estudo sobre os modelos de Black Scholes e Garch." Universidade Federal do Espírito Santo, 2011. http://repositorio.ufes.br/handle/10/2642.

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Made available in DSpace on 2016-08-29T11:12:57Z (GMT). No. of bitstreams: 1 tese_4433_Martinho dissertacao_final.pdf: 1266989 bytes, checksum: 54fceef6261619d17e33c598941c6f2d (MD5) Previous issue date: 2011-05-20<br>Precificação de opções financeiras: um estudo sobre os modelos de Black Scholes e Garch

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Salomão, Martinho de Freitas. "Precificação de opções financeiras: um estudo sobre os modelos de Black Scholes e Garch." Universidade Federal do Espírito Santo, 2011. http://repositorio.ufes.br/handle/10/6007.

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Made available in DSpace on 2016-12-23T14:00:40Z (GMT). No. of bitstreams: 1 Martinho de Freitas Salomao.pdf: 1262175 bytes, checksum: ef4dc9b7a603fc2332f25a6fb3d3bcae (MD5) Previous issue date: 2011-05-20<br>Neste trabalho são analisadas as propriedades teóricas e empíricas de três modelos de precificação de opções financeiras sobre ações: Black Scholes (1973), ad-hoc Black Scholes (Dumas, Fleming e Whaley, 1998), e o modelo GARCH assimétrico proposto por Heston e Nandi (2000), ou HN-GARCH. Os modelos são testados em opções de compra sobre ações preferenciais da Petrobras. É mostrado que o

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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

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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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Rabeau, Nicholas Marc. "Probabilistic approach to contingent claims analysis." Thesis, Imperial College London, 1996. http://hdl.handle.net/10044/1/8195.

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Elder, John. "Hedging strategies for financial derivatives." Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.275325.

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Dremkova, Ekaterina. "A high order compact method for nonlinear Black-Scholes option pricing equations with transaction costs." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3198.

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<p>In this work we consider the nonlinear case of Black-Scholes equation and apply it to American options. Also, method of Liao and Khaliq of high order was applied to nonlinear Black-Scholes equation in case of American options. Here, we use this method oh fourth order in time and space to raise American option price accuracy.</p>

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Angeli, Andrea, and Cornelius Bonz. "Changes in the creditability of the Black-Scholes option pricing model due to financial turbulences." Thesis, Umeå University, Umeå School of Business, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34873.

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<p>This study examines whether the performance of the Black-Scholes model to price stock index options is influenced by the general conditions of the financial markets. For this purpose we calculated the theoretical values of 5814 options (3366 put option price observations and 2448 call option price observations) under the Black-Scholes assumptions. We compared these theoretical values with the real market prices in order to put the degree of deviations in two different time windows built around the bankruptcy of Lehman Brothers (September 15th 2008) to the test. We find clear evidences to st

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