Sökning: "Stochastic volatility model"

Visar resultat 11 - 15 av 87 uppsatser innehållade orden Stochastic volatility model.

  1. 11. Volatility Forecasting using GARCH Processes with Exogenous Variables

    Master-uppsats, KTH/Matematisk statistik

    Författare :Ellis Larson; [2022]
    Nyckelord :Stochastic process; GARCH model; Volatility; Exogenous variables; Evaluation metrics.; GARCH; Volatilitet; Exogena variabler; Evalueringsmetriker.;

    Sammanfattning : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. LÄS MER

  3. 12. 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

  4. 13. How Do Traditional Models for Option Valuation Perform When Applied to Cryptocurrency Options?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Elisabeth Molin; [2022]
    Nyckelord :Heston; Black-Scholes; Cryptocurrency; Ethereum; Bitcoin; Business and Economics;

    Sammanfattning : The market for cryptocurrencies has been known to be volatile with an asymmetrical return distribution where occasional extreme returns appear. In later years options have been introduced on the asset; but due to the characteristics of cryptocurrency returns, researchers have found it troublesome to value these options. LÄS MER

  5. 14. Investigating the Statistical Properties of the Hurst Exponent Estimator of Rough Volatility Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Saeedeh Ostovari; [2021-06-30]
    Nyckelord :fractional Brownian motion; rough stochastic volatility models; circulant embedding method; fractionally integrated process; Realized volatility;

    Sammanfattning : The aim of this thesis is to provide a characterization of the statistical properties of estimator of the Hurst parameter of the rough stochastic volatility model following fractional Brownian motion with Hurst index H. For this purpose, we perform a simulation experiment for fractional Brownian motion based on the circulant embedding method. LÄS MER

  7. 15. Pricing Currency Options with Bates Model: Analytical Tractability versus Empirical Misspeci cation

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Oscar Thelander; [2021-02-02]
    Nyckelord :;

    Sammanfattning : In this thesis I complement the results from Bates (1996) wherein a Stochastic Volatility Jump-Di usion model for pricing foreign currency options is introduced and evaluated against USD/DM foreign exchange options. I complement Bates results with two di erent calibration methodologies, nonlinear least-squares and the built-in MATLAB function fmincon, using the same dataset that was used in Bates (1996). LÄS MER