Sökning: "Mara Kalicanin Dimitrov"

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  1. 1. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Mara Kalicanin Dimitrov; [2022]
    Nyckelord :Almost Exact Scheme; Monte Carlo; Bermudan Options; Least Squares Monte Carlo; CIR; Heston Model; Double Heston Model; Stochastic Volatility;

    Sammanfattning : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. LÄS MER