Essays about: "Heston Parameter Estimates"

Found 4 essays containing the words Heston Parameter Estimates.

  1. 1. 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

  3. 2. Consistent pricing of VIX options

    University essay from Lunds universitet/Matematisk statistik

    Author : Wilhelm Ålander; [2020]
    Keywords : VIX; Option pricing; Fourier methods.; Mathematics and Statistics;

    Abstract : This thesis is an extension from the thesis "To what degree is the VIX benchmark computed by CBOE representative of its definition?" presented on June 16 in 2018. The primary purpose of this thesis is to investigate a consistent way of Fourier pricing with the Heston model and whether or not the estimates can be improved by extending the amount of CIR processes in order to catch the non-linear behavior of VIX options. READ MORE

  4. 3. Implementation of Heston-Nandi GARCH model on OMXS30

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Oscar Sjögren; Jakob Bengtsson Ekström; [2015]
    Keywords : Financial Crisis; Heston and Nandi; HN-GARCH; OMXS30; Option Pricing.; Business and Economics;

    Abstract : This paper evaluates the performance of Heston and Nandi’s closed form option pricing model (2000) on the OMXS30 (Swedish stock index), pre and post the financial crisis. The main purpose is to investigate if the more realistic assumptions of Heston and Nandi yield more accurate price estimates, than the computationally more simplistic Black-Scholes model. READ MORE

  5. 4. Pricing Derivatives: Implementing Heston and Nandi's (2000) Model on the Swedish Stock Index

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Bujar Huskaj; Sharlett Hanna; [2007]
    Keywords : option pricing; HN GARCH; ad hoc Black-Scholes; Black-Scholes; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This thesis is based on Heston and Nandi’s (2000) paper. The aim is to check how their closed-form discrete-time GARCH option pricing model performs on Swedish data, and if there are any significant changes to its performance when estimating it via maximum likelihood using the Normal- and the Student-t distribution. READ MORE