Option pricing: heston model calibration
Pezzella, Andrea (A.A. 2024/2025) Option pricing: heston model calibration. Tesi di Laurea in Probabilità e applicazioni alla finanza, Luiss Guido Carli, relatore Hlafo Alfie Mimun, pp. 97. [Master's Degree Thesis]
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Abstract/Index
Derivatives. Forward contracts. Futures contracts. Option contracts. Put-call parity. Black-Scholes model. Geometric Brownian motion. Black-Scholes model derivation. Black-Scholes-Merton model. Limitations. Volatility smile and skew. Implied volatility. Volatility smile and skew. Heston model. Heston model derivation. Calibration. General calibration strategies. Data. Methodology. Results. Financial relevance of calibration.
References
Bibliografia: pp. 83-84.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Probabilità e applicazioni alla finanza |
| Thesis Supervisor: | Mimun, Hlafo Alfie |
| Thesis Co-Supervisor: | Biagini, Sara |
| Academic Year: | 2024/2025 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 Sep 2025 14:02 |
| Last Modified: | 16 Sep 2025 14:02 |
| URI: | https://tesi.luiss.it/id/eprint/43199 |
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