Essays about: "Thi Diu Cap"

Found 1 essay containing the words Thi Diu Cap.

1. 1. Implied volatility with HJM–type Stochastic Volatility model

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

   Author : Thi Diu Cap; [2021]
   Keywords : Implied volatility surface; stochastic volatility model; HJM framework;

   Abstract : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. READ MORE