Essays about: "Tawfiqullah Qutbuddin"

Found 1 essay containing the words Tawfiqullah Qutbuddin.

  1. 1. Calibration of the Multiscale Stochastic Volatility Model via an Asymptotic Expansion Approach

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Christ-Roi Musonere; Tawfiqullah Qutbuddin; [2016]
    Keywords : ;

    Abstract : We study a model of multiscale stochastic volatility for European option pricing. In this model there are two volatility factors. The rst volatility factor is of fast scale of mean-reverting and the second one is of slow scale of mean-reverting. We review the useful calibration formula derived by Fouque et al. READ MORE