Stochastic volatility models with applications in finance
Derivative pricing, model calibration, and sensitivity analysis are the three main problems in financial modeling. The purpose of this study is to present an algorithm to improve the pricing process, the calibration process, and the sensitivity analysis of the double Heston model, in the sense of ac...
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| Format: | Others |
| Language: | English |
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University of Iowa
2016
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| Online Access: | https://ir.uiowa.edu/etd/2306 https://ir.uiowa.edu/cgi/viewcontent.cgi?article=6780&context=etd |