Application of stochastic volatility models with jumps to BIST options

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2017
Rahiminejat, Monireh
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 model prices. 

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Citation Formats
M. Rahiminejat, “Application of stochastic volatility models with jumps to BIST options,” M.S. - Master of Science, Middle East Technical University, 2017.