Essays about: "Johan Kilander"
Found 1 essay containing the words Johan Kilander.
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Abstract : A Black-Scholes market is considered in which asset prices are modelled by a geometric Brownian motion with regime-switching volatility. The regime-switching allows the volatility to jump randomly amongst a finite number of volatility states. Pricing equations of European options are derived and the equations are solved numerically. READ MORE