Sökning: "Stokastisk volatilitetsmodell"
Hittade 2 uppsatser innehållade orden Stokastisk volatilitetsmodell.
1. Pricing Complex derivatives under the Heston model
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER
2. 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 statistikSammanfattning : 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
Resultatsidor:
1