Stochastic volatility correction to Black-Scholes: the heston model

Campanale, Marina (A.A. 2015/2016) Stochastic volatility correction to Black-Scholes: the heston model. Tesi di Laurea in Mathematical finance, LUISS Guido Carli, relatore Marco Papi, pp. 55. [Bachelor's Degree Thesis]

Full text for this thesis not available from the repository.

Abstract/Index

History of the Black and Scholes model. Calibration of the Black and Scholes model. The Heston model and its calibration.

References

Bibliografia: p. 55.

Thesis Type: Bachelor's Degree Thesis
Institution: LUISS Guido Carli
Degree Program: Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, english language (L-33)
Chair: Mathematical finance
Thesis Supervisor: Papi, Marco
Academic Year: 2015/2016
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 21 Oct 2016 13:13
Last Modified: 20 Nov 2018 11:28
URI: https://tesi.luiss.it/id/eprint/17100

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