Essays about: "Hiba Nassar"

Found 1 essay containing the words Hiba Nassar.

  1. 1. Regularized Calibration of Jump-Diffusion Option Pricing Models

    University essay from Institutionen för datavetenskap, fysik och matematik, DFM

    Author : Hiba Nassar; [2010]
    Keywords : Regularization; Stochastic Process; Option Pricing; Merton Model; Calibration Problem;

    Abstract : An important issue in finance is model calibration. The calibration problem is the inverse of the option pricing problem. Calibration is performed on a set of option prices generated from a given exponential L´evy model. READ MORE