Sökning: "Sharlett Hanna"

Hittade 1 uppsats innehållade orden Sharlett Hanna.

  1. 1. Pricing Derivatives: Implementing Heston and Nandi's (2000) Model on the Swedish Stock Index

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Bujar Huskaj; Sharlett Hanna; [2007]
    Nyckelord :option pricing; HN GARCH; ad hoc Black-Scholes; Black-Scholes; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : 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