Browsing Boğaziçi Üniversitesi Tezleri by Subject "Options (Finance) -- Prices -- Mathematical models."

Now showing items 1-3 of 3

Option pricing by simulation

Dingeç, Kemal Dinçer. (Thesis (Ph.D.)-Bogazici University. Institute for Graduate Studies in Science and Engineering, 2013., 2013.)

The valuation of path dependent and multivariate options require efficient numerical methods, as their prices are not available in closed form. Monte Carlo simulation is one of the widely used techniques. Although simulation ...
Pricing American options by simulation

Coşkan, Cem. (Thesis (M.S.)-Bogazici University. Institute for Graduate Studies in Science and Engineering, 2008., 2008.)

Pricing American options is a di cult problem in mathematical nance as no closed form solution exists. So, many approximations and numerical techniques have been developed. In option pricing, it is advantageous to use ...
Pricing European FX options by heston model calibrated with historical spot prices

Sülük, Havva. (Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2017., 2017.)

In this thesis, European type of FX call and put options are priced by two methods, Black and Scholes Model and Heston Model. Despite the fact that Black and Scholes is widely used by finance environment, the volatility ...

Search Digital Archive