Essays about: "Kristaps Vasiljevs"
Found 1 essay containing the words Kristaps Vasiljevs.
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1. Information content and pricing of options a jump-diffusion setting
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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