Option pricing under stochastic volatility for S & P 500 FTSE 100 index options
This thesis examines option pricing under stochastic volatility for S&P 500 and FTSE 100 index options. The main contributions of the thesis are: (i) it provides empirical evidence of stochastic volatility in S&P 500 and FTSE 100 index returns; (ii) it explains empirically the impact of stoc...
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University of Manchester
1999
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.632541 |