Analysis of An Uncertain Volatility Model in the framework of static hedging for different scenarios
In Black-Scholes model, the parameters -a volatility and an interest rate were assumed as constants. In this thesis we concentrate on behaviour of the volatility as a function and we find more realistic models for the volatility, which elimate a risk connected with behaviour of the volatility of an...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)
2008
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2199 |