Global ETD Search

1	Stochastic Volatility Models for Contingent Claim Pricing and Hedging. Manzini, Muzi Charles. January 2008 (has links) <p>The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility &ldquo / smile&rdquo / curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.</p> Contingent Claim Hedging Brownian Motion Black-Scholes Implied Volatility Stochastic Volatility Call Option Mixture Risk-Neutral Pricing Equity-linked Pension Brennan-Schwartz.
2	Stochastic Volatility Models for Contingent Claim Pricing and Hedging. Manzini, Muzi Charles. January 2008 (has links) <p>The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility &ldquo / smile&rdquo / curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.</p> Contingent Claim Hedging Brownian Motion Black-Scholes Implied Volatility Stochastic Volatility Call Option Mixture Risk-Neutral Pricing Equity-linked Pension Brennan-Schwartz.
3	Stochastic Volatility Models for Contingent Claim Pricing and Hedging Manzini, Muzi Charles January 2008 (has links) Magister Scientiae - MSc / The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant. / South Africa Contingent Claim Hedging Brownian Motion Black-Scholes Implied Volatility Stochastic Volatility Call Option Mixture Risk-Neutral Pricing Equity-linked Pension Brennan-Schwartz

1

Page generated in 0.095 seconds