Sökning: "Heston model"

Visar resultat 11 - 15 av 41 uppsatser innehållade orden Heston model.

1. 11. Pricing Complex derivatives under the Heston model

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Omar Naim; [2021]
   Nyckelord :Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

   Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER

3. 12. Implied volatility with HJM–type Stochastic Volatility model

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

   Författare :Thi Diu Cap; [2021]
   Nyckelord :Implied volatility surface; stochastic volatility model; HJM framework;

   Sammanfattning : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. LÄS MER

4. 13. Pricing in the Heston Model and Its Rough Variation

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Otto Sellerstam; [2021]
   Nyckelord :;

   Sammanfattning : This thesis presents the theoretical material needed to price European call options in the classical and rough version of the Heston model, as well as how to do this in practice from a computational perspective. The theoretical material includes an introduction to measure theory, which is then used to build the foundations of probability theory and stochastic calculus, together with more novel topics such as fractional calculus and a short exposition of the fractional Brownian motion. LÄS MER

5. 14. Forward start options in Heston model

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Henrik Sandler; [2021]
   Nyckelord :Heston; Forward start; Cliquet; Affine jump process; Forward Kolmogorov equation; Backward Kolmogorov equation.; Mathematics and Statistics;

   Sammanfattning : En undersökning om stokastisk volatilitet för Forward start optioner, kan också användas för cliquet- optioner. Heston parameteriseringen användes. Det är i klassen AJD, av Duffie-Pan- Singleton.. LÄS MER

7. 15. Heston vs Black Scholes stock price modelling

   Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

   Författare :Ida Bucic; [2021]
   Nyckelord :Heston model; Black Scholes model; CIR model; Stock price modelling;

   Sammanfattning : In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. LÄS MER