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