Essays about: "Monte Carlo simulation stochastic volatility models"
Showing result 1 - 5 of 6 essays containing the words Monte Carlo simulation stochastic volatility models.
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1. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. READ MORE
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2. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. READ MORE
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3. Particle-based Parameter Inference in Stochastic Volatility Models: Batch vs. Online
University essay from KTH/Matematisk statistikAbstract : This thesis focuses on comparing an online parameter estimator to an offline estimator, both based on the PaRIS-algorithm, when estimating parameter values for a stochastic volatility model. By modeling the stochastic volatility model as a hidden Markov model, estimators based on particle filters can be implemented in order to estimate the unknown parameters of the model. READ MORE
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4. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model
University essay from Göteborgs universitet/Graduate SchoolAbstract : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. READ MORE
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5. A Simulation Study comparing MCMC, QML and GMM Estimation of the Stochastic Volatility Model
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The stochastic volatility (SV) model is an alternative to GARCH models to model time varying volatility. In this thesis the basic stochastic volatility model and three different estimation methods are described---namely, Bayesian Markov chain Monte Carlo (MCMC) methods, quasi maximum-likelihood (QML) and generalized method of moments (GMM). READ MORE
