DC FieldValueLanguage
dc.contributor.advisorRheinländer, Thorsten-
dc.contributor.authorBondi, Alessandro-
dc.date.accessioned2021-02-18T07:08:45Z-
dc.date.issued2021-
dc.date.submitted2021-02-
dc.identifier.urihttps://doi.org/10.34726/hss.2021.65740-
dc.identifier.urihttp://hdl.handle.net/20.500.12708/16870-
dc.descriptionArbeit an der Bibliothek noch nicht eingelangt - Daten nicht geprüft-
dc.descriptionAbweichender Titel nach Übersetzung der Verfasserin/des Verfassers-
dc.description.abstractMotivated 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.format79 Seiten-
dc.languageEnglish-
dc.language.isoen-
dc.subjectoption valuationen
dc.subjectEsscher measureen
dc.titleComparing three different valuation methodsen
dc.typeThesisen
dc.typeHochschulschriftde
dc.identifier.doi10.34726/hss.2021.65740-
dc.publisher.placeWien-
tuw.thesisinformationTechnische Universität Wien-
tuw.publication.orgunitE105 - Institut für Stochastik und Wirtschaftsmathematik-
dc.type.qualificationlevelDiploma-
dc.identifier.libraryidAC16147245-
dc.description.numberOfPages79-
dc.thesistypeDiplomarbeitde
dc.thesistypeDiploma Thesisen
item.languageiso639-1en-
item.openairetypeThesis-
item.openairetypeHochschulschrift-
item.fulltextwith Fulltext-
item.cerifentitytypePublications-
item.cerifentitytypePublications-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.grantfulltextopen-
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