Submitted by Fernando Teixeira (fernote7@gmail.com) on 2017-12-08T15:48:21Z
No. of bitstreams: 1
Download File (1).pdf: 1437428 bytes, checksum: d6dfbfe41919a0cdd657900b6784f310 (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2017-12-08T16:04:57Z (GMT) No. of bitstreams: 1
Download File (1).pdf: 1437428 bytes, checksum: d6dfbfe41919a0cdd657900b6784f310 (MD5) / Made available in DSpace on 2017-12-22T17:16:31Z (GMT). No. of bitstreams: 1
Download File (1).pdf: 1437428 bytes, checksum: d6dfbfe41919a0cdd657900b6784f310 (MD5)
Previous issue date: 2017-09-29 / In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, firstly we present a literature reviewwhich brings stochastic calculus, the Black-Scholes (BS) model and its limitations,the stochastic volatility methods and why they resolve the issues of the BS model,and the peculiarities of the numerical methods. We provide recommendations whenwe acknowledge that the reader might need more specifics and might need to divedeeper into a given topic. We introduce the methods aforementioned providing all ourimplementations in R language within a package.
Identifer | oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/19486 |
Date | 29 September 2017 |
Creators | Teixeira, Fernando Ormonde |
Contributors | Saporito, Yuri Fahham, Ramos, Fábio Antonio Tavares, Escolas::EMAp, Cruz Cancino, Hugo Alexander de la |
Source Sets | IBICT Brazilian ETDs |
Language | English |
Detected Language | English |
Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
Source | reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV |
Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0016 seconds