Sökning: "Filip Andersson and Niklas Westermark"
Hittade 1 uppsats innehållade orden Filip Andersson and Niklas Westermark.
1. Multi-factor Stochastic Volatility Models: A practical approach
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Since the legendary Black-Scholes (1973) model was presented, both academics and practitioners have made efforts to relax its assumptions and generate option pricing models that allow for non-normal return distributions and non-constant volatility. In this thesis, we examine the performance of four structural models ranging from the single-factor stochastic volatility model of Heston (1993) to a two-factor stochastic volatility model allowing for log-normally distributed jumps in the stock return process. LÄS MER