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. The paper describes the foundations of stochastic volatility option pricing and compares the output of the models. The model which better estimates the real option price is dependent on further research of the model parameters involved.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-538 |
| Date | January 2008 |
| Creators | Kalavrezos, Michail, Wennermo, Michael |
| Publisher | Mälardalens högskola, Institutionen för matematik och fysik, Mälardalens högskola, Institutionen för matematik och fysik, Västerås : Mälardalens högskola |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0021 seconds