Sökning: "Generalized Heston model"
Hittade 2 uppsatser innehållade orden Generalized Heston model.
1. Implied volatility expansion under the generalized Heston model
Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. LÄS MER
2. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options
Master-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utvecklingSammanfattning : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. LÄS MER