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Academic literature on the topic 'Prezzi di opzioni'
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Journal articles on the topic "Prezzi di opzioni"
Castellani, Gilberto. "La valutazione del Prezzo di Opzioni Su Titoli a Reddito Fisso in un Modello Stocastico di Equilibrio." Rivista di Matematica per le Scienze Economiche e Sociali 11, no. 1-2 (March 1988): 11–25. http://dx.doi.org/10.1007/bf02085213.
Full textDissertations / Theses on the topic "Prezzi di opzioni"
Zanetti, Rosita. "Metodi di approssimazione saddlepoint ed applicazioni finanziarie." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2014. http://amslaurea.unibo.it/6891/.
Full textBRIGNONE, RICCARDO. "Moment based approximations for arithmetic averages with applications in derivative pricing, credit risk and Monte Carlo simulation." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2020. http://hdl.handle.net/10281/262926.
Full textIn this thesis we consider three different financial problems whose solution is related to the arithmetic average of some mean reverting stochastic process, whose distribution is unknown, precluding explicit and exact computations. We propose moment based approximations and examine applications in exotic derivatives pricing, credit risk and Monte Carlo simulation and show that this kind of solution can be very useful as able to reduce the computational cost with respect to alternative numerical methods, which are used as benchmark throughout this work. The first chapter of this thesis is devoted to provide some theoretical background on moment based approximations, including some basic facts on the so-called \textit{moment problem}, common approximations techniques, together with a literature review on the usage of moments in finance and numerical illustrations. In the second chapter, we propose accurate moment based approximation formulas for the price of Asian options in the case where the underlying's price is a mean reverting (with jumps) stochastic process. In the third chapter we introduce an efficient methodology, based on moment matching, for the calibration of the default intensity, which is modeled through an exponential Ornstein-Uhlenbeck process and apply this result to the calculation of Credit Value Adjustment (CVA) in presence of wrong way risk for interest rates derivatives. In the fourth chapter, we consider the problem of simulating stochastic volatility models. Exact simulation schemes have been proposed in literature for various models, but are computationally inefficient due to their dependence on the integral of the variance process, which is generally assumed to be mean reverting and whose distribution is unknown. In this case, we show how to compute the moments of such unknown distribution and develop a new simulation methodology which turns out to be much faster, from a computational point of view, than exact schemes, for a similar level of accuracy. The final chapter is different from the others as moments find only marginal application. We consider a double exponential jump diffusion model where the jump intensity is a stochastic process of Hawkes type. This kind of dynamics has been introduced in literature in order to model jump clustering phenomenon, widely observed in financial and commodity markets. We derive the characteristic function of the integral of log-returns and price geometric Asian options under such model.
Sun, Yu. "Analytically tractable stochastic volatility models in asset and option pricing." Doctoral thesis, Università Politecnica delle Marche, 2016. http://hdl.handle.net/11566/243100.
Full textThis dissertation consists of four related essays on stochastic volatility models in asset and option pricing. More precisely, this dissertation focuses on stochastic interest rate and multiscale stochastic volatility models, with applications in various financial products. In first essay, a hybrid Heston-CIR (HCIR) model with a stochastic interest rate process is presented. In this essay, explicit elementary formulas for the moments of the asset price variables as well as efficient formulas to approximate the option prices are deduced. Using European call and put option prices on U.S. S&P 500 index, empirical study shows that the HCIR model outperforms Heston model in interpreting and predicting both call and put option prices. The second essay is a further extension of the HCIR model with two different applications. The first application is using HCIR model to interpret bond yield term structure and to forecast their upward/downward trend. The second analysis is based on the values of the long-term health endowment policy. The empirical analysis shows that the stochastic interest rate plays a crucial role as a volatility factor and provides a multi-factor model that outperforms the Heston model in predicting health endowment policy price. In the third essay, a hybrid Heston Hull-White (HHW) model is designed to describe the dynamics of an asset price under stochastic volatility and interest rate that allows negative values. Explicit elementary formulas for the transition probability density function of the asset price variable and closed-form formulas to approximate the option prices are deduced. In first empirical analysis, the HHW model is calibrated by using implied volatility. The second empirical analysis focuses on the Eurodollar futures prices and the corresponding European options prices with a generalization of the Heston model in the stochastic interest rate framework. Both the results are impressive for approximation and prediction. This confirms the efficiency of HHW model and the necessary to allow for negative values of interest rate. The fourth essay describes a multiscale hybrid Heston model of the spot FX rate which is an extension of the model De Col, Gnoatto and Grasselli 2013 in order to allow stochastic interest rate. The analytical treatment of the model is described in detail both under physical measure and risk neutral measure. In particular, a formula for the transition probability density function is derived as a one dimensional integral of an elementary integral function which is used to price European Vanilla call and put options.
CORAZZA, Marco. "Caso e Caos Deterministico: un Approccio all’Analisi delle Leggi di Evoluzione dei Prezzi Speculativi." Doctoral thesis, La pubblicazione in oggetto è stata stampata in proprio dall'autore, 1995. http://hdl.handle.net/10278/24052.
Full textRESTELLI, ENRICO RINO. "FINANZIAMENTO DELL'IMPRESA E COAZIONE A SOTTOSCRIVERE. GLI AUMENTI DI CAPITALE IPERDILUITIVI." Doctoral thesis, Università Cattolica del Sacro Cuore, 2018. http://hdl.handle.net/10280/50308.
Full textIn publicly traded companies, highly dilutive rights issues create market anomalies throughout the whole offer period, especially with respect to rights prices, which quote considerably below their fair value. As pointed out in Chapter I, these anomalies could cause severe losses to non-subscribing shareholders, inducing them to take part in the operation even if financial perspectives of the company would have suggested otherwise (= enforced subscription mechanism). In order to strike a proper balance of enabling companies to raise new capital while simultaneously protecting investors, company law provides an array of regulatory strategies. In this respect, Chapter II analyzes the prohibition on issuing new shares below par value (art. 47, Directive (EU) 2017/1132) as a means to limit the dilution that can be imposed on non-subscribing shareholders, thus hindering opportunistic behaviors. Similarly, Chapter III examines the function and the contents of managers’ liability to investors (art. 2395 Italian c.c.) and discusses whether, in these operations, the illiquidity of rights’ market can be regarded as a restriction of their pre-emption right, imposing that new shares are always issued at their “real” value (art. 2441, par. 5 - 6, Italian c.c.).
RESTELLI, ENRICO RINO. "FINANZIAMENTO DELL'IMPRESA E COAZIONE A SOTTOSCRIVERE. GLI AUMENTI DI CAPITALE IPERDILUITIVI." Doctoral thesis, Università Cattolica del Sacro Cuore, 2018. http://hdl.handle.net/10280/50308.
Full textIn publicly traded companies, highly dilutive rights issues create market anomalies throughout the whole offer period, especially with respect to rights prices, which quote considerably below their fair value. As pointed out in Chapter I, these anomalies could cause severe losses to non-subscribing shareholders, inducing them to take part in the operation even if financial perspectives of the company would have suggested otherwise (= enforced subscription mechanism). In order to strike a proper balance of enabling companies to raise new capital while simultaneously protecting investors, company law provides an array of regulatory strategies. In this respect, Chapter II analyzes the prohibition on issuing new shares below par value (art. 47, Directive (EU) 2017/1132) as a means to limit the dilution that can be imposed on non-subscribing shareholders, thus hindering opportunistic behaviors. Similarly, Chapter III examines the function and the contents of managers’ liability to investors (art. 2395 Italian c.c.) and discusses whether, in these operations, the illiquidity of rights’ market can be regarded as a restriction of their pre-emption right, imposing that new shares are always issued at their “real” value (art. 2441, par. 5 - 6, Italian c.c.).
Books on the topic "Prezzi di opzioni"
Trading Controllato: Guida per Principianti Sulle Strategie Di Trading in Opzioni e Gestione Del Rischio. Strumenti e Tattiche Del Mercato Forex e Analisi Del Prezzo Del Volume . Independently Published, 2021.
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