Volatility of European Options
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The Ohio State University / OhioLINK
2019
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| Online Access: | http://rave.ohiolink.edu/etdc/view?acc_num=osu1554809434581109 |
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ndltd-OhioLink-oai-etd.ohiolink.edu-osu15548094345811092021-08-03T07:10:08Z Volatility of European Options Khandelwal, Vasudha Mathematics European options are the most fundamental financial derivatives which are ex- tensively traded in the current world. They form as an underlying for various exotic derivatives. The objective of this thesis is to understand pricing models of European puts and calls - in a way that is consistent with the market quoted prices. Three different models are considered for it, Dupire model - deterministic local volatility model; Heston model - simple mean-reverting stochastic volatility model; and SABR model - complex non-mean-reverting stochastic volatility model. Further, their re- lation to market quoted Black-Scholes implied volatility is explored. Advantages and disadvantages of each model are discussed when applying it to the options on S&P500. 2019-08-26 English text The Ohio State University / OhioLINK http://rave.ohiolink.edu/etdc/view?acc_num=osu1554809434581109 http://rave.ohiolink.edu/etdc/view?acc_num=osu1554809434581109 unrestricted This thesis or dissertation is protected by copyright: all rights reserved. It may not be copied or redistributed beyond the terms of applicable copyright laws. |
| collection |
NDLTD |
| language |
English |
| sources |
NDLTD |
| topic |
Mathematics |
| spellingShingle |
Mathematics Khandelwal, Vasudha Volatility of European Options |
| author |
Khandelwal, Vasudha |
| author_facet |
Khandelwal, Vasudha |
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Khandelwal, Vasudha |
| title |
Volatility of European Options |
| title_short |
Volatility of European Options |
| title_full |
Volatility of European Options |
| title_fullStr |
Volatility of European Options |
| title_full_unstemmed |
Volatility of European Options |
| title_sort |
volatility of european options |
| publisher |
The Ohio State University / OhioLINK |
| publishDate |
2019 |
| url |
http://rave.ohiolink.edu/etdc/view?acc_num=osu1554809434581109 |
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AT khandelwalvasudha volatilityofeuropeanoptions |
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