Sökning: "Heston model"
Visar resultat 26 - 30 av 41 uppsatser innehållade orden Heston model.
26. 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
27. Optimal portfolio allocation by the martingale method in an incomplete and partially observable market
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this thesis, we consider an agent who wants to maximize his expected utility of his terminal wealth with respect to the power utility by the martingale method. The assets that the agent can allocate his capital to are assumed to follow a stochastic differential equation and exhibits stochastic volatility. LÄS MER
28. Implementation of Heston-Nandi GARCH model on OMXS30
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This paper evaluates the performance of Heston and Nandi’s closed form option pricing model (2000) on the OMXS30 (Swedish stock index), pre and post the financial crisis. The main purpose is to investigate if the more realistic assumptions of Heston and Nandi yield more accurate price estimates, than the computationally more simplistic Black-Scholes model. LÄS MER
29. Inference and hedging of the Heston model under P (a simulation study)
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The purpose of this thesis is to estimate the parameters in a stochastic volatility model in order to hedge derivatives based on underlying assets under the real probabilities as opposed to the standard method of esti- mating them under the risk neutral probabilities. We choose a common and reasonable but not to complex model of stock prices and other traded nancial assets, the Heston model, as we don't want to use a model that is irrelevant for practical applications or so complex as to make it compu- tationally and theoretically too burdensome. LÄS MER
30. Fast Valuation of Options under Parameter Uncertainty
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Option valuation is typically done under the unrealistic assumption of perfect knowledge about model parameters. This thesis shows that risk-neutral valuation, while still adressing the parameter uncertainty, can be computed for a variety of models within the Fourier framework. LÄS MER
