Essays about: "Teo Raspudic"

Found 1 essay containing the words Teo Raspudic.

  1. 1. Option Pricing Under the Markov-switching Framework Defined by Three States

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

    Author : Minna Castoe; Teo Raspudic; [2020]
    Keywords : Option pricing; Markov-switching framework; Markov chain; Stochastic volatility Monte carlo simulation;

    Abstract : An exact solution for the valuation of the options of the European style can be obtained using the Black-Scholes model. However, some of the limitations of the Black-Scholes model are said to be inconsistent such as the constant volatility of the stock price which is not the case in real life. READ MORE