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Showing 1 to 4 of 4 for “"At The Money Options"”.
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Alternatives to the Black-Scholes model
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 …
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Graphical analysis of hard-to-borrow stocks
We study the graphical analysis for hard to borrow stocks i.e., stock with some constraints such as short selling. The main purpose of this graphical analysis was to introduce some algorithm for calculating the implied dividend yield curve for hard to borrow stocks using the dynamical programming. …
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An empirical comparison using both the term structure of interest rates and alternative models in pricing options on 90-day BAB futures
The use of the term structure of interest rates to price options is relatively new in the literature. It describes the relationship between interest rates and the maturities of bonds. The first model that described the interest rate process was the Vasicek (1977) model. There have been many studies …
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Volatility Model Pricing and Calibration with Neural Networks using Bayesian Optimisation
Stochastic Alpha, Beta, Rho (SABR) and Heston Volatility models have been used in the financial industry due to their ability to price options as a function of time to maturity and moneyness. Implied volatilities for these models are accurately estimated using a numerical integration approach, …