Sökning: "Heston model"
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41. Pricing Derivatives: Implementing Heston and Nandi's (2000) Model on the Swedish Stock Index
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis is based on Heston and Nandi’s (2000) paper. The aim is to check how their closed-form discrete-time GARCH option pricing model performs on Swedish data, and if there are any significant changes to its performance when estimating it via maximum likelihood using the Normal- and the Student-t distribution. LÄS MER