Quadratic Volatility Models Applied to the Pricing of European Options

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dc.contributor.authorLindwall, Gustav
dc.contributor.departmentChalmers tekniska högskola / Institutionen för matematiska vetenskapersv
dc.contributor.departmentChalmers University of Technology / Department of Mathematical Sciencesen
dc.date.accessioned2019-07-03T14:42:33Z
dc.date.available2019-07-03T14:42:33Z
dc.date.issued2018
dc.description.abstractIn 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.
dc.identifier.urihttps://hdl.handle.net/20.500.12380/254969
dc.language.isoeng
dc.setspec.uppsokPhysicsChemistryMaths
dc.subjectMatematik
dc.subjectGrundläggande vetenskaper
dc.subjectMathematics
dc.subjectBasic Sciences
dc.titleQuadratic Volatility Models Applied to the Pricing of European Options
dc.type.degreeExamensarbete för masterexamensv
dc.type.degreeMaster Thesisen
dc.type.uppsokH
local.programmeEngineering mathematics and computational science (MPENM), MSc
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