Local and Stochastic Volatility Models: An Investigation into the Pricing of Exotic Equity Options
Faculty of Science; School of Computational and Applied Maths; MSC Thesis === The assumption of constant volatility as an input parameter into the Black-Scholes option pricing formula is deemed primitive and highly erroneous when one considers the terminal distribution of the log-returns of the un...
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| Format: | Others |
| Language: | en |
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2006
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| Online Access: | http://hdl.handle.net/10539/1495 |