Sökning: "Heston modell"

Hittade 5 uppsatser innehållade orden Heston modell.

  1. 1. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Olof Hummelgren; [2022]
    Nyckelord :fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

    Sammanfattning : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. LÄS MER

  3. 2. 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

  4. 3. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

    Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Carl Paulin; Maja Lindström; [2020]
    Nyckelord :Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

    Sammanfattning : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. LÄS MER

  5. 4. To what degree is the VIX benchmark computed by CBOE representative of its definition?

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Patrik Liedbeck; Wilhlem Ålander; [2018]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The purpose of this paper is through an empirical approach understand the dynamics of VIX and investigate to what degree the benchmark computed by CBOE is representative of its definition. The method implemented is of a design where one constructs a hypothetical world in which synthetic options data are produced by the Bates-Heston model. LÄS MER

  7. 5. Optimal portfolio allocation by the martingale method in an incomplete and partially observable market

    Master-uppsats, KTH/Matematisk statistik

    Författare :Emil Karlsson; [2016]
    Nyckelord :;

    Sammanfattning : 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