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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Spelling suggestions: "subject:"quadratic rough heston model"" "subject:"quadratic rough keston model""

1

Option pricing with Quadratic Rough Heston Model

Dushkina, Marina January 2023 (has links)
In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. To speed up calibration, we apply quasi-Monte Carlo methods. We study the effect of the various calibration parameters on the volatility smile.
option pricing
rough volatility models
Heston model
Monte Carlo methods
calibration
quadratic rough Heston model
volatility smile
Probability Theory and Statistics
Sannolikhetsteori och statistik

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