Essays about: "Double Heston Model"

Found 2 essays containing the words Double Heston Model.

  1. 1. 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

  3. 2. Pricing a basket option when volatility is capped using affinejump-diffusion models

    University essay from KTH/Matematisk statistik

    Author : Daniel Krebs; [2013]
    Keywords : Exotic option; basket option; risk management; greeks; affine jumpdiffusions; the Black-Scholes model; the Heston model; Bates model with lognormal jumps; the Bates model with log-asymmetric double exponential jumps; the Stochastic-Volatility-Simultaneous-Jumps SVSJ -model; the Sepp-model;

    Abstract : This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. READ MORE