Sökning: "local volatility calibration"

Hittade 3 uppsatser innehållade orden local volatility calibration.

1. 1. The Swap Market Model with Local Stochastic Volatility

   Master-uppsats, KTH/Matematisk statistik

   Författare :Mohammed Benmakhlouf Andaloussi; [2019]
   Nyckelord :;

   Sammanfattning : Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. LÄS MER

3. 2. Local Volatility Calibration on the Foreign Currency Option Market

   Master-uppsats, Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolan

   Författare :Markus Falck; [2014]
   Nyckelord :FX-options; local volatility calibration; local variance gamma; votality interpolation extrapolation; variance swaps; option pricing;

   Sammanfattning : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). LÄS MER

4. 3. Pricing With Uncertainty : The impact of uncertainty in the valuation models ofDupire and Black&Scholes

   Master-uppsats, KTH/Matematisk statistik

   Författare :Mirella Zetoun; [2013]
   Nyckelord :Dupire; Local Volatility; Implied Volatility; Structured Products; Autocalls; CPN; Calibration; Black Scholes; S P500; DAX; OMX;

   Sammanfattning : Theaim of this master-thesis is to study the impact of uncertainty in the local-and implied volatility surfaces when pricing certain structured products suchas capital protected notes and autocalls. Due to their long maturities, limitedavailability of data and liquidity issue, the uncertainty may have a crucialimpact on the choice of valuation model. LÄS MER