Essays about: "ad hoc Black-Scholes"
Found 3 essays containing the words ad hoc Black-Scholes.
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1. Assessing the Economic Value of Implied Volatility Estimates
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. READ MORE
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2. Multi-factor Stochastic Volatility Models: A practical approach
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Since the legendary Black-Scholes (1973) model was presented, both academics and practitioners have made efforts to relax its assumptions and generate option pricing models that allow for non-normal return distributions and non-constant volatility. In this thesis, we examine the performance of four structural models ranging from the single-factor stochastic volatility model of Heston (1993) to a two-factor stochastic volatility model allowing for log-normally distributed jumps in the stock return process. READ MORE
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3. Pricing Derivatives: Implementing Heston and Nandi's (2000) Model on the Swedish Stock Index
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis is based on Heston and Nandi’s (2000) paper. The aim is to check how their closed-form discrete-time GARCH option pricing model performs on Swedish data, and if there are any significant changes to its performance when estimating it via maximum likelihood using the Normal- and the Student-t distribution. READ MORE
