Open Access. Powered by Scholars. Published by Universities.®
Physical Sciences and Mathematics Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Physical Sciences and Mathematics
Fractal Shapes Generated By Iterated Function Systems, Mary Catherine Mckinley
Fractal Shapes Generated By Iterated Function Systems, Mary Catherine Mckinley
LSU Master's Theses
This thesis explores the construction of shapes and, in particular, fractal-type shapes as fixed points of contractive iterated function systems as discussed in Michael Barnsley's 1988 book ``Fractals Everywhere." The purpose of the thesis is to serve as a resource for an undergraduate-level introduction to the beauty and core ideas of fractal geometry, especially with regard to visualizations of basic concepts and algorithms.
Option Volatility & Arbitrage Opportunities, Mikael Boffetti
Option Volatility & Arbitrage Opportunities, Mikael Boffetti
LSU Master's Theses
This paper develops several methods to estimate a future volatility of a stock in order to correctly price corresponding stock options. The pricing model known as Black-Scholes-Merton is presented with a constant volatility parameter and compares it to stochastic volatility models. It mathematically describes the probability distribution of the underlying stock price changes implied by the models and the consequences. Arbitrage opportunities between stock options of various maturities or strike prices are explained from the volatility smile and volatility term structure.