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1. Implied volatility with HJM–type Stochastic Volatility model
Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems. In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. LÄS MER
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