Essays about: "Kristaps Vasiljevs"

Found 1 essay containing the words Kristaps Vasiljevs.

  1. 1. Information content and pricing of options a jump-diffusion setting

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Kristaps Vasiljevs; [2016]
    Keywords : Merton jump-diffusion model; Calibration; Asian option; Oil; Pricing;

    Abstract : It is believed that information that is incorporated within market prices is accurate and useful. To evaluate this, I, first of all, calibrate the Merton jump-diffusion model to oil options over the period from 2009 to 2015. I show that the retrieved parameters capture market events properly and appropriately. READ MORE