Essays about: "Johan Kilander"

Found 1 essay containing the words Johan Kilander.

  1. 1. Calibrating an option pricing model under regime-switching volatility

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Kilander; [2007]
    Keywords : stochastic volatility; option pricing; regime-swtiching; markov chain; PDE;

    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