Options pricing with stochastic volatility: SABR model

Campo, Giovanni (A.A. 2009/2010) Options pricing with stochastic volatility: SABR model. Tesi di Laurea in Processi stocastici e applicazioni alla finanza, LUISS Guido Carli, relatore Roberto Renò, pp. 91. [Master's Degree Thesis]

Full text for this thesis not available from the repository.

Abstract/Index

La valutazione di opzioni europee. Volatilità stocastica e volatilità locale. Il modello SABR. Applicazione empirica

References

Bibliografia: pp. 86-91.

Thesis Type: Master's Degree Thesis
Institution: LUISS Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (64/S)
Chair: Processi stocastici e applicazioni alla finanza
Thesis Supervisor: Renò, Roberto
Thesis Co-Supervisor: Scarsini, Marco
Academic Year: 2009/2010
Session: Summer
Deposited by: SARA DI PERNA
Date Deposited: 04 May 2011 17:34
Last Modified: 19 May 2015 22:43
URI: https://tesi.luiss.it/id/eprint/3856

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