Essays about: "Gauss-Laguerre quadrature"

Found 1 essay containing the words Gauss-Laguerre quadrature.

  1. 1. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Author : Nicklas Rehnby; [2017]
    Keywords : option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Abstract : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. READ MORE