Sökning: "Heston model"

Visar resultat 36 - 40 av 41 uppsatser innehållade orden Heston model.

  1. 36. Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Danijela Petkovic; [2008]
    Nyckelord :Variance swaps; Heston model; Stochastic volatility;

    Sammanfattning : In this paper we investigate pricing of variance swaps contracts. The literature is mostly dedicated to the pricing using replication with portfolio of vanilla options. In some papers the valuation with stochastic volatility models is discussed as well. Stochastic volatility is becoming more and more interesting to the investors. LÄS MER

  3. 37. Calibration of parameters for the Heston model in the high volatility period of market

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Maria Maslova; [2008]
    Nyckelord :Heston model; calibration parameters; Bayesian analysis; deviation detection problem;

    Sammanfattning : The main idea of our work is the calibration parameters for the Heston stochastic volatility model. We make this procedure by using the OMXS30 index from the NASDAQ OMX Nordic Exchange Market. We separate our data into the stable period and high-volatility period on this Nordic Market. LÄS MER

  4. 38. The Java applet for pricing Asian options under Heston’s model using the new Ninomiya weak approximation scheme and quasi-Monte Carlo

    Kandidat-uppsats, Akademin för utbildning, kultur och kommunikation

    Författare :Boyko Vasilev; [2008]
    Nyckelord :Asian options; Ninomiya; pricing; Monte Carlo; quasi Monte Carlo;

    Sammanfattning : This study is based on a new weak-approximation scheme for stochastic differential equations applied to the Heston stochastic volatility model. The scheme was published by Ninomiya and Ninomiya (2008) and is an extension of Kusuoka’s approximation scheme. LÄS MER

  5. 39. Convexity of option prices in the Heston model

    Master-uppsats, Matematiska institutionen

    Författare :Jian Wang; [2007]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  7. 40. On Stock Index Volatility With Respect to Capitalization

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Marina Pachentseva; Anna Bronskaya; [2007]
    Nyckelord :GARCH models; Volatility; Heston Model; Index;

    Sammanfattning : Condfidence in the future is a signicant factor for business development. However frequently, accurate and specific purposes are spread over the market environment influence.Thus,it is necessary to make an appropriate consideration of instability, which is peculiar to the dynamic development. LÄS MER