Sökning: "the Sepp-model"

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1. 1. Pricing a basket option when volatility is capped using affinejump-diffusion models

   Magister-uppsats, KTH/Matematisk statistik

   Författare :Daniel Krebs; [2013]
   Nyckelord :Exotic option; basket option; risk management; greeks; affine jumpdiffusions; the Black-Scholes model; the Heston model; Bates model with lognormal jumps; the Bates model with log-asymmetric double exponential jumps; the Stochastic-Volatility-Simultaneous-Jumps SVSJ -model; the Sepp-model;

   Sammanfattning : This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. LÄS MER