Sökning: "Michail Kalavrezos"

Hittade 2 uppsatser innehållade orden Michail Kalavrezos.

1. 1. Stochastic Volatility Models in Option Pricing

   Magister-uppsats, Institutionen för matematik och fysik

   Författare :Michail Kalavrezos; Michael Wennermo; [2008]
   Nyckelord :Option pricing; stochastic volatility models; Monte Carlo simulation; Java applet; variance reduction techniques;

   Sammanfattning : In this thesis we have created a computer program in Java language which calculates European call- and put options with four different models based on the article The Pricing of Options on Assets with Stochastic Volatilities by John Hull and Alan White. Two of the models use stochastic volatility as an input. LÄS MER

3. 2. Pricing Caps in the Heath, Jarrow and Morton Framework Using Monte Carlo Simulations in a Java Applet

   Magister-uppsats, Institutionen för matematik och fysik

   Författare :Michail Kalavrezos; [2007]
   Nyckelord :Heath-Jarrow -Morton framework; Java; interest rate derivatives; caps; Monte Carlo Simulations;

   Sammanfattning : In this paper the Heath, Jarrow and Morton (HJM) framework is applied in the programming language Java for the estimation of the future spot rate. The subcase of an exponential model for the diffusion coefficient (volatility) is used for the pricing of interest rate derivatives (caps). .. LÄS MER