Essays about: "Tawfiqullah Qutbuddin"
Found 1 essay containing the words Tawfiqullah Qutbuddin.
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1. Calibration of the Multiscale Stochastic Volatility Model via an Asymptotic Expansion Approach
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : 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
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