Stochastic Volatility Models for Contingent Claim Pricing and Hedging

Stochastic Volatility Models for Contingent Claim Pricing and Hedging

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Magister Scientiae - MSc === The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as...

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Bibliographic Details
Main Author: Manzini, Muzi Charles
Other Authors: Witbooi, Peter J.
Language:en
Published: University of the Western Cape 2014
Subjects:
Contingent Claim
Hedging
Brownian Motion
Black-Scholes Implied Volatility
Stochastic Volatility
Call Option Mixture
Risk-Neutral Pricing
Equity-linked Pension
Brennan-Schwartz
Online Access:http://hdl.handle.net/11394/2755

Internet

http://hdl.handle.net/11394/2755

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