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

Mert, Özenç Murat
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.


Local volatility model applied to BIST30 european warrants: pricing and hedging
Kirazoğlu, Zekiye Sıla; Sezer, Ali Devin; Department of Financial Mathematics (2016)
One of the basic observations on pricing options is that the assumption of constant volatility does not agree with data and market price data gives a volatility smile that depends on maturities and strike prices. The first model that developed to be compatible with this observation is the local volatility model. The purpose of this work is to study the performance of the local volatility model on BIST30 warrants and compare it to the standard Black Scholes model. To estimate the local volatility model from d...
Volatility indexes and an implementation of the Turkish BIST 30 index
Karakurt, Caner; Uğur, Ömür; Department of Financial Mathematics (2018)
In 1993, by representing of CBOE Vix, global financial markets met volatility indexes. In 2003, methodology of the CBOE Vix is updated and it took the form which used today. Day after day, volatility indexes have attracted more and more investors and financial institutions, and soon volatility indexes have succeeded in becoming one of the most followed financial indicators. Following these developments, many countries have introduced their implied volatility indexes by using CBOE Vix methodology or its vari...
Application of stochastic volatility models with jumps to BIST options
Rahiminejat, Monireh; Sezer, Ali Devin; Department of Financial Mathematics (2017)
This thesis gives a derivation of call and put option pricing formulas under stochastic volatility models with jumps; the precise model is a combination of Merton and Heston models. The derivation is based on the computation of the characteristic function of the underlying process. We use the derived formulas to fit the model to options written on two stocks in the BIST30 index covering the first two months of 2017. The fit is done by minimizing a weighted $L_2$ distance between the observed prices and the ...
Computation of Malliavin Greeks in Hybrid StochasticVolatility Models
Yılmaz, Bilgi; Yolcu Okur, Yeliz (2015-05-16)
Contrary to Black-Scholes model in stochastic volatility models, the stock price’s volatility assumed to be a stochastic process and the Brownian motions of volatility and stock price process are correlated with each other. Moreover, in some models, called hybrid stochastic volatility models, the interest rate also assumed to be a stochastic process. Because of the stochastic volatility, stochastic interest rate and correlated Brownian motions, a closed form solution for the Greeks of the options usually do...
Institutional ownership as an additional factor to describe stock returns
Uğurlu Yıldırım, Ecenur; Şendeniz Yüncü, İlkay; Department of Business Administration (2018)
After the development of asset pricing models, empirical studies have shown that there are inconsistencies between these theoretical models and empirical findings. Due to these inconsistencies, asset-pricing researchers have started to examine a broader set of factors that might affect asset market behavior. As the institutional investors are huge players in the financial markets, and their importance in stock market has increased in last years, it is crucial to understand the impact of institutional invest...
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.