Implied volatility with HJM–type Stochastic Volatility model
In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems. In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option....
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| Format: | Others |
| Language: | English |
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Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54938 |