Finansinių aktyvų kainų stochastinio sklaidos parametro modelių tyrimas
This paper studies stochastic volatility models under the price of EUR/USD exchange rate options traded in Lithuania. Three models were considered: Hull-White, Heston and logarithmical Ornstein-Uhlenbeck stochastic volatility model.The model performance is assessed by two criteria. First, in the sam...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Dissertation |
| Language: | Lithuanian |
| Published: |
Lithuanian Academic Libraries Network (LABT)
2004
|
| Subjects: | |
| Online Access: | http://vddb.library.lt/fedora/get/LT-eLABa-0001:E.02~2004~D_20040608_162717-93746/DS.005.0.01.ETD |