Beyond black scholes option pricing: the role of volatility in local and stochastic volatility models
Mangiacrapa, Salvatore (A.A. 2020/2021) Beyond black scholes option pricing: the role of volatility in local and stochastic volatility models. Tesi di Laurea in Quantitative methods for finance, Luiss Guido Carli, relatore Alessandro Ramponi, pp. 88. [Master's Degree Thesis]
|
PDF (Full text)
Download (1MB) | Preview |
Abstract/Index
Basic rules of mathematics for finance. Characteristics of volatility. Constant volatility model. Local volatility models. Stochastic volatility models. Application: volatility estimates and simulation of Heston model.
References
Bibliografia: pp. 87-88.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Quantitative methods for finance |
| Thesis Supervisor: | Ramponi, Alessandro |
| Thesis Co-Supervisor: | Nicolosi, Marco |
| Academic Year: | 2020/2021 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 25 Aug 2022 10:15 |
| Last Modified: | 25 Aug 2022 10:15 |
| URI: | https://tesi.luiss.it/id/eprint/33021 |
Downloads
Downloads per month over past year
Repository Staff Only
 |
View Item |
