Essays about: "asymptotic expansion"
Showing result 1 - 5 of 8 essays containing the words asymptotic expansion.
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1. Asymptotic results for American option prices under extended Heston model
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : In this thesis, we consider the pricing problem of an American put option. We introduce a new market model for the evolution of the underlying asset price. Our model adds a new parameter to the well known Heston model. Hence we name our model the extended Heston model. READ MORE
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2. 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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3. Basic quantisation rules of semiclassical analysis
University essay from Uppsala universitet/Analys och sannolikhetsteoriAbstract : Semiclassical analysis is the study of how to connect classical mechanics with quantummechanics in a mathematically rigorous way. What is crucial for quantum mechanics isthat the operators that occur are self-adjoint and map a subset of L2 into L2. This hasbeen proven in this thesis. READ MORE
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4. Return Models and Covariance Matrices
University essay from Lunds universitet/Fysiska institutionen; Lunds universitet/Matematisk fysikAbstract : Return models and covariance matrices of return series have been studied. In particular, GARCH and SV models are compared with respect to their forecasting accuracy when applied to intraday return series. SV models are found to be considerably more accurate and more consistent in accuracy in forecasting. READ MORE
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5. Asymptotic expansion of the expected discounted penalty function in a two-scalestochastic volatility risk model.
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : In this Master thesis, we use a singular and regular perturbation theory to derive an analytic approximation formula for the expected discounted penalty function. Our model is an extension of Cramer–Lundberg extended classical model because we consider a more general insurance risk model in which the compound Poisson risk process is perturbed by a Brownian motion multiplied by a stochastic volatility driven by two factors- which have mean reversion models. READ MORE
