Sökning: "Markus Falck"

Hittade 1 uppsats innehållade orden Markus Falck.

  1. 1. Local Volatility Calibration on the Foreign Currency Option Market

    Master-uppsats, Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolan

    Författare :Markus Falck; [2014]
    Nyckelord :FX-options; local volatility calibration; local variance gamma; votality interpolation extrapolation; variance swaps; option pricing;

    Sammanfattning : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). LÄS MER