Essays about: "SVJJ model"

Found 1 essay containing the words SVJJ model.

  1. 1. Comparative analysis of the SVJJ and the Hyperbolic models on the Swedish market

    University essay from Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Ekaterina Anisimova; Tomasz Lapinski; [2008]
    Keywords : SVJJ model; hyperbolic model;

    Abstract : In this thesis we investigate and compare two recently developed models of the option valuation according to the Swedish market. The first model is the Stochastic Volatility model with jumps in the stock price and the volatility (SVJJ) and the second is the Hyperbolic model. READ MORE