Pricing options with stochastic volatility model.
The purpose of this thesis is to review the evidence of non-constant volatility and to consider the implications for option pricing using stochastic volatility model. We concentrate on the Stochastic Volatility Model developed by Steven L. Heston in 1993 as it processes a closed-form formula that is...
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2008
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sg-ntu-dr.10356-77242024-01-12T10:32:54Z Pricing options with stochastic volatility model. Lee, Sor Hong. Teo, Lay Leng. Teow, Hwee Ling. Low, Buen Sin Nanyang Business School DRNTU::Business::Finance::Options The purpose of this thesis is to review the evidence of non-constant volatility and to consider the implications for option pricing using stochastic volatility model. We concentrate on the Stochastic Volatility Model developed by Steven L. Heston in 1993 as it processes a closed-form formula that is practically implementable. Master of Science (Financial Engineering) 2008-09-18T07:50:16Z 2008-09-18T07:50:16Z 2002 2002 Thesis http://hdl.handle.net/10356/7724 en Nanyang Technological University 49 p. application/pdf |
| institution |
Nanyang Technological University |
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NTU Library |
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Asia |
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Singapore Singapore |
| content_provider |
NTU Library |
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English |
| topic |
DRNTU::Business::Finance::Options |
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DRNTU::Business::Finance::Options Lee, Sor Hong. Teo, Lay Leng. Teow, Hwee Ling. Pricing options with stochastic volatility model. |
| description |
The purpose of this thesis is to review the evidence of non-constant volatility and to consider the implications for option pricing using stochastic volatility model. We concentrate on the Stochastic Volatility Model developed by Steven L. Heston in 1993 as it processes a closed-form formula that is practically implementable. |
| author2 |
Low, Buen Sin |
| author_facet |
Low, Buen Sin Lee, Sor Hong. Teo, Lay Leng. Teow, Hwee Ling. |
| format |
Theses and Dissertations |
| author |
Lee, Sor Hong. Teo, Lay Leng. Teow, Hwee Ling. |
| author_sort |
Lee, Sor Hong. |
| title |
Pricing options with stochastic volatility model. |
| title_short |
Pricing options with stochastic volatility model. |
| title_full |
Pricing options with stochastic volatility model. |
| title_fullStr |
Pricing options with stochastic volatility model. |
| title_full_unstemmed |
Pricing options with stochastic volatility model. |
| title_sort |
pricing options with stochastic volatility model. |
| publishDate |
2008 |
| url |
http://hdl.handle.net/10356/7724 |
| _version_ |
1789483231614074880 |