Sökning: "Extended Heston model"

Hittade 2 uppsatser innehållade orden Extended Heston model.

  1. 1. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Samuel Rosén; [2023]
    Nyckelord :HQH; Heston Queue Hawkes; Option Pricing; jump diffusion;

    Sammanfattning : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. LÄS MER

  3. 2. Asymptotic results for American option prices under extended Heston model

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

    Författare :Veronica Teri; [2019]
    Nyckelord :American options; Stochastic Volatility; Extended Heston model; Fast mean–reversion volatility; Asymptotic expansion; Average Volatility;

    Sammanfattning : In this thesis, we consider the pricing problem of an American put option. We introduce a new market model for the evolution of the underlying asset price. Our model adds a new parameter to the well known Heston model. Hence we name our model the extended Heston model. LÄS MER