Essays about: "Jakub Blaszkiewicz"

Found 1 essay containing the words Jakub Blaszkiewicz.

  1. 1. Analysis of An Uncertain Volatility Model in the framework of static hedging for different scenarios

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Alena Sdobnova; Jakub Blaszkiewicz; [2008]
    Keywords : static hedging; Black-Scholes-Barenblatt; uncertainty; worst-case scenario; UVM;

    Abstract : In Black-Scholes model, the parameters -a volatility and an interest rate were assumed as constants. In this thesis we concentrate on behaviour of the volatility as a function and we find more realistic models for the volatility, which elimate a risk connected with behaviour of the volatility of an underlying asset. READ MORE