Sökning: "Alena Sdobnova"

Hittade 1 uppsats innehållade orden Alena Sdobnova.

  1. 1. Analysis of An Uncertain Volatility Model in the framework of static hedging for different scenarios

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Alena Sdobnova; Jakub Blaszkiewicz; [2008]
    Nyckelord :static hedging; Black-Scholes-Barenblatt; uncertainty; worst-case scenario; UVM;

    Sammanfattning : In Black-Scholes model, the parameters -a volatility and an interest rate were assumed as constants. In this thesis we concentrate on behaviour of the volatility as a function and we find more realistic models for the volatility, which elimate a risk connected with behaviour of the volatility of an underlying asset. LÄS MER