KTH Matematik  

Matematisk Statistik

Tid: 19 mars 2012 kl 17.00-17.45. (Observera dagen och tiden)

Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Gustaf Linnell

Titel: Option Pricing with Events at Deterministic Times (Examensarbete - Master thesis)

Abstract In this thesis we have investigated the effects of events at deterministic times on stock prices and option volatilities for medical companies. To do this we derive an extension of the Black & Scholes option pricing formula that incorporates apriori known events. From two implications of the model we have then analyzed if a sample of events for medical companies exhibits these model implied characteristics. From the model we have also derived a jump estimator that we analyze to see how the estimated jump correspond to actual event day volatilities for the companies. Our findings suggest that the model we look at seems to capture the effects of the events on the prices of options. In the last part of the thesis we look at two different delta hedging schemes for companies with events. From the analysis of the two different schemes we conclude that using a volatility where we don't take into account the jump volatility gives an on average lower hedging cost but at a much higher variance in the outcome.

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Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009