Essays about: "java volatility"

Showing result 1 - 5 of 6 essays containing the words java volatility.

1. 1. Automatized GARCH parameter estimation

   University essay from KTH/Matematisk statistik

   Author : Dennis Sundström; [2017]
   Keywords : ;

   Abstract : This paper is about automatizing parameter estimation of GARCH type conditional volatility models for the sake of using it in an automated risk monitoring system. Many challenges arise with this task such as guaranteeing convergence, being able to yield reasonable results regardless of the quality of the data, accuracy versus speed of the algorithm to name a few. READ MORE

3. 2. Pricing European Call Option in Scott’s Stochastic Volatility Model

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

   Author : Hailong Zhao; S.M. Nazmul Hoque; [2010]
   Keywords : ;

   Abstract : In this paper, we derive pricing equations for the European call option under Scott’s stochastic volatility model and achieve a price for the European call option by creating a JAVA applet.  Through certain times of simulating we can observe the tendency of the options price, as a result, which it can provide the necessary data for implementing the optimal strategies of investment. READ MORE

4. 3. The Java applet for pricing Asian options under Heston’s model using the new Ninomiya weak approximation scheme and quasi-Monte Carlo

   University essay from Akademin för utbildning, kultur och kommunikation

   Author : Boyko Vasilev; [2008]
   Keywords : Asian options; Ninomiya; pricing; Monte Carlo; quasi Monte Carlo;

   Abstract : This study is based on a new weak-approximation scheme for stochastic differential equations applied to the Heston stochastic volatility model. The scheme was published by Ninomiya and Ninomiya (2008) and is an extension of Kusuoka’s approximation scheme. READ MORE

5. 4. Stochastic Volatility Models in Option Pricing

   University essay from Institutionen för matematik och fysik

   Author : Michail Kalavrezos; Michael Wennermo; [2008]
   Keywords : Option pricing; stochastic volatility models; Monte Carlo simulation; Java applet; variance reduction techniques;

   Abstract : In this thesis we have created a computer program in Java language which calculates European call- and put options with four different models based on the article The Pricing of Options on Assets with Stochastic Volatilities by John Hull and Alan White. Two of the models use stochastic volatility as an input. READ MORE

6. 5. Pricing Caps in the Heath, Jarrow and Morton Framework Using Monte Carlo Simulations in a Java Applet

   University essay from Institutionen för matematik och fysik

   Author : Michail Kalavrezos; [2007]
   Keywords : Heath-Jarrow -Morton framework; Java; interest rate derivatives; caps; Monte Carlo Simulations;

   Abstract : In this paper the Heath, Jarrow and Morton (HJM) framework is applied in the programming language Java for the estimation of the future spot rate. The subcase of an exponential model for the diffusion coefficient (volatility) is used for the pricing of interest rate derivatives (caps). .. READ MORE