Essays about: "volatility heston"

Showing result 1 - 5 of 29 essays containing the words volatility heston.

  1. 1. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Samuel Rosén; [2023]
    Keywords : HQH; Heston Queue Hawkes; Option Pricing; jump diffusion;

    Abstract : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. READ MORE

  3. 2. Option pricing with Quadratic Rough Heston Model

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Marina Dushkina; [2023]
    Keywords : option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

    Abstract : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. READ MORE

  4. 3. Artificial Intelligence for Option Pricing

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Emil Hietanen; [2022-06-19]
    Keywords : Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

    Abstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE

  5. 4. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

    University essay from KTH/Matematik (Avd.)

    Author : Olof Hummelgren; [2022]
    Keywords : fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

    Abstract : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. READ MORE

  6. 5. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models

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

    Author : Mara Kalicanin Dimitrov; [2022]
    Keywords : Almost Exact Scheme; Monte Carlo; Bermudan Options; Least Squares Monte Carlo; CIR; Heston Model; Double Heston Model; Stochastic Volatility;

    Abstract : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. READ MORE