Stochastic Volatility Models in Option Pricing
2008 (engelsk)Independent thesis Advanced level (degree of Magister), 20 poäng / 30 hp
Oppgave
Abstract [en]
In this thesis we have created a computer program in Java language which calculates European call- and put options with four different models based on the article The Pricing of Options on Assets with Stochastic Volatilities by John Hull and Alan White. Two of the models use stochastic volatility as an input. The paper describes the foundations of stochastic volatility option pricing and compares the output of the models. The model which better estimates the real option price is dependent on further research of the model parameters involved.
sted, utgiver, år, opplag, sider
Västerås: Mälardalens högskola , 2008. , s. 104
Emneord [en]
Option pricing, stochastic volatility models, Monte Carlo simulation, Java applet, variance reduction techniques
HSV kategori
Identifikatorer
URN: urn:nbn:se:mdh:diva-538OAI: oai:DiVA.org:mdh-538DiVA, id: diva2:121095
Presentation
2007-12-17, T3-065, T, 721 23 ,Högskolplan 1, Västerås, 16:15
Uppsök
fysik/kemi/matematik
Veileder
Examiner
2008-02-122008-02-12