In this thesis, we provide several applications of Gram-Charlier expansions in derivative
pricing. We first give an exposition on how to calculate swaption prices under the
the CIR2 model. Then we extend this method to CIR2++ model. We also develop a
procedure to calculate European call options under Heston’s model of stochastic volatility
by Gram-Charlier Expansions.
| Identifer | oai:union.ndltd.org:WATERLOO/oai:uwspace.uwaterloo.ca:10012/7413 |
| Date | 09 April 2013 |
| Creators | Cheng, Yin-Hei |
| Source Sets | University of Waterloo Electronic Theses Repository |
| Language | English |
| Detected Language | English |
| Type | Thesis or Dissertation |
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