Quadratic Volatility Models Applied to the Pricing of European Options

Examensarbete för masterexamen

Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.12380/254969
Download file(s):
File Description SizeFormat 
254969.pdfFulltext1.28 MBAdobe PDFView/Open
Type: Examensarbete för masterexamen
Master Thesis
Title: Quadratic Volatility Models Applied to the Pricing of European Options
Authors: Lindwall, Gustav
Abstract: In this thesis we derive a general framework for calibrating quadratic local volatility models in financial asset modelling. The method is first considered for constructed fictional data sets. Strengths and weaknesses of the method are studied thoroughly in this setting. We then apply our calibration method on stock market data, and use it to price European call options. The results of this are compared to actual option chains on the stocks in question as well as the cruder Black-Scholes prices for these stocks. We end the thesis with a discussion on further development of the quadratic volatility model.
Keywords: Matematik;Grundläggande vetenskaper;Mathematics;Basic Sciences
Issue Date: 2018
Publisher: Chalmers tekniska högskola / Institutionen för matematiska vetenskaper
Chalmers University of Technology / Department of Mathematical Sciences
URI: https://hdl.handle.net/20.500.12380/254969
Collection:Examensarbeten för masterexamen // Master Theses

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.