Applications of the heston model on BIST30 warrants : hedging and pricing

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2016
Mert, Özenç Murat
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The Heston model is one of the first and known stochastic volatility models. The aim of this work is to study the performance of the Heston Model on pricing and hedging the warrants written on BIST30 and the compatibility between the observation of the Heston Model in the literature and BIST30 data.
Pricing., Hedge funds., Stock warrants., Stock exchanges.
http://etd.lib.metu.edu.tr/upload/12620222/index.pdf
https://hdl.handle.net/11511/25863
Graduate School of Applied Mathematics, Thesis

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Citation Formats
Ö. M. Mert, “Applications of the heston model on BIST30 warrants : hedging and pricing,” M.S. - Master of Science, Middle East Technical University, 2016.
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