Essays about: "Hui Ye"

Found 2 essays containing the words Hui Ye.

  1. 1. A Comparison of Local Volatility and Implied Volatility

    University essay from Analys och tillämpad matematik

    Author : Hui Ye; [2011]
    Keywords : ;

    Abstract : .... READ MORE

  3. 2. Arbitrage-free market models for interest rate options and future options: the multi-strike case

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Author : Hui Ye; Anastasia Ellanskaya; [2010]
    Keywords : Financial Mathem; atics; arbitrage-free market; interest rate options; multy-strike case;

    Abstract : This work mainly studies modeling and existence issues for martingale models of option markets with one stock and a collection of European call options for one fixed maturity and infinetely many strikes. In particular, we study Dupire's and Schweizer-Wissel's models, especially the latter one. READ MORE