Essays about: "Heston model"

Showing result 1 - 5 of 18 essays containing the words Heston model.

  1. 1. A Utility Approach: Strategy Analysis and Optimization

    University essay from Lunds universitet/Matematisk statistik

    Author : Magnús Ólafur Sigurdsson; [2019]
    Keywords : Utility optimization; Portfolio analysis; Dynamic programming; Bellman equation.; Technology and Engineering;

    Abstract : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. READ MORE

  2. 2. To what degree is the VIX benchmark computed by CBOE representative of its definition?

    University essay from Lunds universitet/Matematisk statistik

    Author : Patrik Liedbeck; Wilhlem Ålander; [2018]
    Keywords : Mathematics and Statistics;

    Abstract : The purpose of this paper is through an empirical approach understand the dynamics of VIX and investigate to what degree the benchmark computed by CBOE is representative of its definition. The method implemented is of a design where one constructs a hypothetical world in which synthetic options data are produced by the Bates-Heston model. READ MORE

  3. 3. 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

  4. 4. Optimal portfolio allocation by the martingale method in an incomplete and partially observable market

    University essay from KTH/Matematisk statistik

    Author : Emil Karlsson; [2016]
    Keywords : ;

    Abstract : In this thesis, we consider an agent who wants to maximize his expected utility of his terminal wealth with respect to the power utility by the martingale method. The assets that the agent can allocate his capital to are assumed to follow a stochastic differential equation and exhibits stochastic volatility. READ MORE

  5. 5. 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