Realistic option pricing approach: extension of the base model for American option valuation
Mancini, Domenico (A.A. 2022/2023) Realistic option pricing approach: extension of the base model for American option valuation. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Giacomo Morelli, pp. 64. [Master's Degree Thesis]
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Abstract/Index
Background. Option pricing framework. Stylized facts and empirical findings. Methodology. Returns. Volatility estimation. Model drift. From physical to risk-neutral probability measure. Small δt expansion. Monte Carlo Simulation. Option pricing. American option pricing. Applied model. Model set-up. Option pricing results. Implied volatility.
References
Bibliografia: pp. 57-58.
| 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: | Empirical finance |
| Thesis Supervisor: | Morelli, Giacomo |
| Thesis Co-Supervisor: | Santucci de Magistris, Paolo |
| Academic Year: | 2022/2023 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 24 May 2024 13:09 |
| Last Modified: | 24 May 2024 13:09 |
| URI: | https://tesi.luiss.it/id/eprint/38675 |
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