Sökning: "Stochastic Volatility"

Visar resultat 16 - 20 av 107 uppsatser innehållade orden Stochastic Volatility.

  1. 16. Pricing Complex derivatives under the Heston model

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Omar Naim; [2021]
    Nyckelord :Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

    Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER

  3. 17. Implied volatility with HJM–type Stochastic Volatility model

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Thi Diu Cap; [2021]
    Nyckelord :Implied volatility surface; stochastic volatility model; HJM framework;

    Sammanfattning : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. LÄS MER

  4. 18. Advanced methods for pricing financial derivatives in a market modelwith two stochastic volatilities

    Magister-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Victor Folajin; [2021]
    Nyckelord :Financial derivative; market model; cubature method; stochastic Taylor expansion; Stratonovich integral;

    Sammanfattning : This thesis is on an advanced method for pricing financial derivatives in a market model,which comprises two stochastic volatilities. Financial derivatives are instruments whosethat is related to any financial asset. Underlying assets in derivatives are mostly financialinstruments; such as security, currency or a commodity. LÄS MER

  5. 19. Hedging of a foreign exchange swapbook using Stochastic programming

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Emma Bohlin; Jonatan Harling; [2021]
    Nyckelord :term structure measurement; optimization; hedging; foreign exchange swaps; interest rates; FX; stochastic programming;

    Sammanfattning : A large part of the foreign exchange market concerns the trading of FX swaps. While entering a position in a FX swap does not cost any money, banks earn money on FX swaps when their customers cross the bid/ask spread, creating a perceived transaction costs for the swaps. LÄS MER

  7. 20. Heston vs Black Scholes stock price modelling

    Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :Ida Bucic; [2021]
    Nyckelord :Heston model; Black Scholes model; CIR model; Stock price modelling;

    Sammanfattning : In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. LÄS MER