Numerical Techniques for Determining Unknown Parameters in Option Pricing
The Black-Scholes model assume that volatility and interest rates are constant. However, in reality, volatility cannot be stable nor can interest rates be constant. This thesis developed a model to recover unknown non-constant volatilities from one option contract period using simulated data, by tak...
| Main Author: | |
|---|---|
| Format: | Thesis |
| Published: |
Curtin University
2022
|
| Online Access: | http://hdl.handle.net/20.500.11937/92350 |
Similar Items
Numerical Methods for Option Pricing
by: Dokuchaev, Mikhail
Published: (2021)
by: Dokuchaev, Mikhail
Published: (2021)
Numerical performance of penalty method for American option pricing
by: Zhang, K., et al.
Published: (2009)
by: Zhang, K., et al.
Published: (2009)
Pricing of American call options using regression and numerical integration
by: Beh, Woan Lin, et al.
Published: (2014)
by: Beh, Woan Lin, et al.
Published: (2014)
Option pricing for rough Heston model using numerical methods
by: Siow, Woon Jeng
Published: (2021)
by: Siow, Woon Jeng
Published: (2021)
Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing
by: Wang, Song, et al.
Published: (2015)
by: Wang, Song, et al.
Published: (2015)
A numerical method for pricing European options with proportional transaction costs
by: Li, W., et al.
Published: (2014)
by: Li, W., et al.
Published: (2014)
Mathematical Models and Numerical Methods for Pricing
Options on Investment Projects under Uncertainties
by: Li, Nan
Published: (2020)
by: Li, Nan
Published: (2020)
Valuing the unknown: could the real options have redeemed the ailing Western Australian junior iron ore operations in 2013–2016 iron price crash
by: Ajak, A., et al.
Published: (2018)
by: Ajak, A., et al.
Published: (2018)
Price matching for multiple rescindable options and European options
by: Dokuchaev, Nikolai
Published: (2008)
by: Dokuchaev, Nikolai
Published: (2008)
Pricing of American call options using simulation and numerical analysis / Beh Woan Lin
by: Beh, Woan Lin
Published: (2011)
by: Beh, Woan Lin
Published: (2011)
Review of Option Pricing Literature and
An Online Real-Time Option Pricing Application Development
by: Liu, Shu
Published: (2007)
by: Liu, Shu
Published: (2007)
Pricing of Currency Options: A comparison of Garman Kohlhagen and GARCH Option Pricing Model
by: Chande, Punit
Published: (2009)
by: Chande, Punit
Published: (2009)
The Valuation of Option Pricing Models
by: Wei, Bizhu
Published: (2008)
by: Wei, Bizhu
Published: (2008)
Multiple rescindable options and their pricing
by: Dokuchaev, Nikolai
Published: (2009)
by: Dokuchaev, Nikolai
Published: (2009)
Analysis of known and unknown malware bypassing techniques
by: Daryabar, Farid, et al.
Published: (2013)
by: Daryabar, Farid, et al.
Published: (2013)
Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods
by: Kanthamanond, Piti
Published: (2009)
by: Kanthamanond, Piti
Published: (2009)
Estimation of regression parameters in the presence of heteroscedasticity with unknown form (HWUF)
by: Rana, Md. Sohel, et al.
Published: (2009)
by: Rana, Md. Sohel, et al.
Published: (2009)
Evaluating The Black-Scholes Option Pricing Model And Possible Option Pricing Alternative Using Market Data
by: Poon, Desmond Hin Lun
Published: (2009)
by: Poon, Desmond Hin Lun
Published: (2009)
Pricing formula for power options with jump-diffusion
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2016)
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2016)
Performance of VIX Option Price Models
by: Wang, Yang
Published: (2012)
by: Wang, Yang
Published: (2012)
Investigation of alternative methods of option pricing
by: Wang, Mingxiu
Published: (2006)
by: Wang, Mingxiu
Published: (2006)
Option Pricing Model in China's Market
by: Xiao, Ting
Published: (2006)
by: Xiao, Ting
Published: (2006)
Advancing the quadrature method in option pricing
by: Su, Haozhe
Published: (2018)
by: Su, Haozhe
Published: (2018)
Multi-scale Volatility in Option Pricing
by: Liu, Shican
Published: (2018)
by: Liu, Shican
Published: (2018)
Currency option pricing and realised volatility
by: Manzur, Meher, et al.
Published: (2010)
by: Manzur, Meher, et al.
Published: (2010)
A numerical scheme for pricing american options with transaction costs under a jump diffusion process
by: Lesmana, D., et al.
Published: (2017)
by: Lesmana, D., et al.
Published: (2017)
A Robust Numerical Scheme for Pricing American Options Under Regime Switching Based on Penalty Method
by: Zhang, Kai, et al.
Published: (2013)
by: Zhang, Kai, et al.
Published: (2013)
Stochastic Models of Crude Oil Prices and Their Applications on Option Pricing
by: Cao, Hang
Published: (2015)
by: Cao, Hang
Published: (2015)
Pricing extendible options using the fast Fourier transform
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2014)
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2014)
A numerical study for a mining project using real options valuation under commodity price uncertainty
by: Haque, M, et al.
Published: (2014)
by: Haque, M, et al.
Published: (2014)
Pricing formula for power options under jump-diffusion
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2015)
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2015)
Garch Models: Forecasting Volatility and Pricing Options
by: Joshi, Sahil
Published: (2010)
by: Joshi, Sahil
Published: (2010)
Assessing the Garman-Kohlhagen option pricing model
by: Gros, Guillaume
Published: (2009)
by: Gros, Guillaume
Published: (2009)
Bond option pricing under the CKLS model
by: Khor, C. Y., et al.
Published: (2012)
by: Khor, C. Y., et al.
Published: (2012)
On pricing futures options on random binomial tree
by: Ganikhodjaev, Nasir, et al.
Published: (2013)
by: Ganikhodjaev, Nasir, et al.
Published: (2013)
A neural network approach to option pricing
by: Mostafa, Fahed, et al.
Published: (2008)
by: Mostafa, Fahed, et al.
Published: (2008)
Modeling volatility in foreign currency option pricing
by: Hoque, M., et al.
Published: (2009)
by: Hoque, M., et al.
Published: (2009)
Modeling volatility in foreign currency option pricing
by: Hoque, Mohammed, et al.
Published: (2008)
by: Hoque, Mohammed, et al.
Published: (2008)
Pricing options on investment project expansions under commodity price uncertainty
by: Li, N., et al.
Published: (2019)
by: Li, N., et al.
Published: (2019)
Option pricing under stochastic environment of volatility and market price of risk
by: Phewchean, N, et al.
Published: (2013)
by: Phewchean, N, et al.
Published: (2013)