Sökning: "Filip Westermark"

Hittade 1 uppsats innehållade orden Filip Westermark.

  1. 1. Multi-factor Stochastic Volatility Models: A practical approach

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Filip Andersson; Niklas Westermark; [2009]
    Nyckelord :option pricing; stochastic volatility; multi-factor;

    Sammanfattning : 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