Comparative analysis of the SVJJ and the Hyperbolic models on the Swedish market
In this thesis we investigate and compare two recently developed models of the option valuation according to the Swedish market. The first model is the Stochastic Volatility model with jumps in the stock price and the volatility (SVJJ) and the second is the Hyperbolic model. First of all we make bri...
| 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-2200 |