<div class="csl-bib-body">
<div class="csl-entry">Bondi, A. (2021). <i>Comparing three different valuation methods</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2021.65740</div>
</div>
-
dc.identifier.uri
https://doi.org/10.34726/hss.2021.65740
-
dc.identifier.uri
http://hdl.handle.net/20.500.12708/16870
-
dc.description
Arbeit an der Bibliothek noch nicht eingelangt - Daten nicht geprüft
-
dc.description
Abweichender Titel nach Übersetzung der Verfasserin/des Verfassers
-
dc.description.abstract
Motivated by new financial markets where there is no canonical choice of a risk-neutral measure, we compared two different methods for pricing options: calibration with an entropic penalty term and valuation by the Esscher measure. The main aim of this paper is to contrast the outcomes of those two methods with real-traded call option prices in a liquid market like NASDAQ stock exchange, using data referring to the period 2019–2020. Although the Esscher measure method slightly underperforms the calibration method in terms of absolute values of the percentage difference between real and model prices, it could be the only feasible choice if there are not many liquidly traded derivatives in the market.
en
dc.language
English
-
dc.language.iso
en
-
dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
-
dc.subject
option valuation
en
dc.subject
Esscher measure
en
dc.title
Comparing three different valuation methods
en
dc.type
Thesis
en
dc.type
Hochschulschrift
de
dc.rights.license
In Copyright
en
dc.rights.license
Urheberrechtsschutz
de
dc.identifier.doi
10.34726/hss.2021.65740
-
dc.contributor.affiliation
TU Wien, Österreich
-
dc.rights.holder
Alessandro Bondi
-
dc.publisher.place
Wien
-
tuw.version
vor
-
tuw.thesisinformation
Technische Universität Wien
-
tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik
