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Found 2 essays matching the above criteria.

1. 1. Implied volatility expansion under the generalized Heston model

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

   Author : Hanna Andersson; Ying Wang; [2020]
   Keywords : Heston model; Generalized Heston model; implied volatility; implied volatility expansion; Black–Scholes; Monte Carlo method; European options;

   Abstract : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. READ MORE

3. 2. 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