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Stochastic Volatility Models in Option Pricing
Mälardalen University, Department of Mathematics and Physics.
Mälardalen University, Department of Mathematics and Physics.
2008 (English)Independent thesis Advanced level (degree of Magister), 20 points / 30 hpStudent thesis
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.

Place, publisher, year, edition, pages
Västerås: Mälardalens högskola , 2008. , 104 p.
Keyword [en]
Option pricing, stochastic volatility models, Monte Carlo simulation, Java applet, variance reduction techniques
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-538OAI: oai:DiVA.org:mdh-538DiVA: diva2:121095
Presentation
2007-12-17, T3-065, T, 721 23 ,Högskolplan 1, Västerås, 16:15
Uppsok
fysik/kemi/matematik
Supervisors
Examiners
Available from: 2008-02-12 Created: 2008-02-12

Open Access in DiVA

fulltext(1824 kB)3356 downloads
File information
File name FULLTEXT01.pdfFile size 1824 kBChecksum MD5
1c5b4db139114e0f8fab1d4eed5a135ef0b315170820557486980584d299d986b6d3e308
Type fulltextMimetype application/pdf

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Citation style
  • apa
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Language
  • de-DE
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  • nn-NO
  • nn-NB
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  • Other locale
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Output format
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