Application of stochastic volatility models with jumps to BIST options

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Date

2017

Author

Rahiminejat, Monireh

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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.

Subject Keywords

Options (Finance)., Stock exchanges., Stock-flow analysis., Investment analysis., Stochastic processes.

URI

http://etd.lib.metu.edu.tr/upload/12621407/index.pdf
https://hdl.handle.net/11511/26706

Collections

Graduate School of Applied Mathematics, Thesis

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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.