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Characteristic function pricing with the Heston-LIBOR hybrid model

We derive an approximate characteristic function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived in this dissertation as well as the one derived by Grzelak and Oosterlee. The ultimate aim of the dissertation is to prevent these characteristic functions from exploding for given parameter values.

Identiferoai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/31273
Date24 February 2020
CreatorsSterley, Christopher
ContributorsOuwehand, Peter, McWalter, Thomas
PublisherFaculty of Commerce, African Institute of Financial Markets and Risk Management
Source SetsSouth African National ETD Portal
LanguageEnglish
Detected LanguageEnglish
TypeMaster Thesis, Masters, MPhil
Formatapplication/pdf

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