Essays about: "Nathaniel Ahy"

Found 2 essays containing the words Nathaniel Ahy.

  1. 1. A Comparison between Approximations of Option Pricing Models and Risk-Neutral Densities using Hermite Polynomials

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Nathaniel Ahy; [2020]
    Keywords : ;

    Abstract : .... READ MORE

  3. 2. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Nathaniel Ahy; Mikael Sierra; [2018]
    Keywords : Implied Volatility; Stochastic Volatility; Implied Volatility Surfaces; European Options; Moore-Penrose Inverse; ;

    Abstract : Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored field of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. READ MORE