Sökning: "Wilhelm Ålander"
Hittade 1 uppsats innehållade orden Wilhelm Ålander.
1. Consistent pricing of VIX options
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : This thesis is an extension from the thesis "To what degree is the VIX benchmark computed by CBOE representative of its definition?" presented on June 16 in 2018. The primary purpose of this thesis is to investigate a consistent way of Fourier pricing with the Heston model and whether or not the estimates can be improved by extending the amount of CIR processes in order to catch the non-linear behavior of VIX options. LÄS MER
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