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Explicit cubature method in Heston model
Mälardalen University, School of Education, Culture and Communication.
Mälardalen University, School of Education, Culture and Communication.
2017 (English)Independent thesis Basic level (degree of Bachelor), 180 HE creditsStudent thesis
Abstract [en]

In this paper we demonstrate one of the most recent methods in financial engineering called Cubature on Wiener space developed by Lyons and Victoir and its applications for Heston model. This model is theoretically a contender to classical models that relies on Monte Carlo simulation method, and has accuracy up to degree 5 of iterated Stratonovich integrals of Wiener process. Contribution of this paper could be seen in the solving of ODEs in finance in order to get the price of contingent claim.

Place, publisher, year, edition, pages
2017. , 30 p.
National Category
Natural Sciences
Identifiers
URN: urn:nbn:se:mdh:diva-36301OAI: oai:DiVA.org:mdh-36301DiVA: diva2:1137522
Subject / course
Mathematics/Applied Mathematics
Presentation
2017-06-02, HÖGSKOLEPLAN 1, 721 23, VÄSTERÅS, 13:15 (English)
Supervisors
Examiners
Available from: 2017-08-31 Created: 2017-08-31 Last updated: 2017-08-31Bibliographically approved

Open Access in DiVA

fulltext(275 kB)8 downloads
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File name FULLTEXT01.pdfFile size 275 kBChecksum SHA-512
9269b790dd78591882a0da1ddb6ecaa569cf699d458b009ac72abe74aee891217d3de49102d5f0a65abd17457e145e82d222af1878909d1dee702153df6e1682
Type fulltextMimetype application/pdf

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Sulaymanov, Abdukayum
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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • vancouver
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
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