Sökning: "Heston model"

Visar resultat 31 - 35 av 41 uppsatser innehållade orden Heston model.

1. 31. Calculating the density of a Heston stochasticvolatility model

   Magister-uppsats, Uppsala universitet/Analys och sannolikhetsteori

   Författare :Guanyu Li; [2014]
   Nyckelord :;

   Sammanfattning : .... LÄS MER

3. 32. Pricing a basket option when volatility is capped using affinejump-diffusion models

   Magister-uppsats, KTH/Matematisk statistik

   Författare :Daniel Krebs; [2013]
   Nyckelord :Exotic option; basket option; risk management; greeks; affine jumpdiffusions; the Black-Scholes model; the Heston model; Bates model with lognormal jumps; the Bates model with log-asymmetric double exponential jumps; the Stochastic-Volatility-Simultaneous-Jumps SVSJ -model; the Sepp-model;

   Sammanfattning : This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. LÄS MER

4. 33. The performance of GARCH option pricing models : An empirical study on Swedish OMXS30 call options

   Master-uppsats, IHH, Economics, Finance and Statistics

   Författare :Donald Harding; [2013]
   Nyckelord :;

   Sammanfattning : The purpose of this thesis is to examine the properties for different specifications of the HestonNandi GARCH option pricing model and the pricing performance on european Swedish OMXS30 call options. The sample consists of a total of 2467 options (both in-sample and out-of-sample) for 2011 and 2012, which are priced with three specifications of the HestonNandi-GARCH model and then compared to the pricing performance of the BlackScholes model. LÄS MER

5. 34. The Heston Model - Stochastic Volatility and Approximation

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Patrik Karlsson; [2009]
   Nyckelord :Black-Scholes; Derivative Pricing; Heston; Monte Carlo; Volatility Smile.; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : The crude assumption on log normal stock returns and constant volatility in the Black-Scholes model is a big constraint which constructs smile and skew inconsistent prices. The Heston model and its suggested approximation built on stochastic volatility are introduced and faced against the Black-Scholes model in hope of producing option prices where the smile and skew are taken into account. LÄS MER

7. 35. 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