Sökning: "Stochastic volatility model"

Visar resultat 21 - 25 av 87 uppsatser innehållade orden Stochastic volatility model.

  1. 21. Volatility Curves of Incomplete Markets

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Kateryna Chechelnytska; [2020-06-23]
    Nyckelord :Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

    Sammanfattning : The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were perfectly described by the Black-Scholes model, the implied volatility would be independent of the strike price and thus the volatility curve would be a at horizontal line. LÄS MER

  3. 22. Estimating Risk Using Stochastic Volatility Models and Particle Stochastic Approximation Expectation Maximization

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Henrik Kragh; [2020]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : In this thesis several stochastic volatility models are presented and used to estimate the risk of a collection of Swedish stocks, as well as of a portfolio consisting of said stocks. Model parameters are estimated using the PSAEM algorithm. LÄS MER

  4. 23. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Omar Mohammad; Rafi Khaliqi; [2020]
    Nyckelord :options; pricing; american; Monte-Carlo; Least square; heston model; stochastic; volatility; early exercise boundary volatility;

    Sammanfattning : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. LÄS MER

  5. 24. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

    Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Carl Paulin; Maja Lindström; [2020]
    Nyckelord :Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

    Sammanfattning : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. LÄS MER

  7. 25. Option Pricing Under the Markov-switching Framework Defined by Three States

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Minna Castoe; Teo Raspudic; [2020]
    Nyckelord :Option pricing; Markov-switching framework; Markov chain; Stochastic volatility Monte carlo simulation;

    Sammanfattning : An exact solution for the valuation of the options of the European style can be obtained using the Black-Scholes model. However, some of the limitations of the Black-Scholes model are said to be inconsistent such as the constant volatility of the stock price which is not the case in real life. LÄS MER