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Pricing Dax index options with Heston’s stochastic volatility model
(2008)
Pro gradu - tutkielma
Kokoteksti luettavissa vain Tritonian asiakaskoneilla.
Pro gradu - tutkielma
Kokoteksti luettavissa vain Tritonian asiakaskoneilla.
The purpose of this thesis is to compare the pricing power of two different option pricing models on DAX Index data. The models included are Black-Scholes-Merton (BS) and Heston’s stochastic volatility (SV) model. The data ...