Sökning: "Sharlett Hanna"
Hittade 1 uppsats innehållade orden Sharlett Hanna.
1. 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
Resultatsidor:
1