Inference and hedging of the Heston model under P (a simulation study)
(2015) FMS820 20151Mathematical Statistics
- Abstract
- The purpose of this thesis is to estimate the parameters in a stochastic
volatility model in order to hedge derivatives based on underlying assets
under the real probabilities as opposed to the standard method of esti-
mating them under the risk neutral probabilities. We choose a common
and reasonable but not to complex model of stock prices and other traded
nancial assets, the Heston model, as we don't want to use a model that
is irrelevant for practical applications or so complex as to make it compu-
tationally and theoretically too burdensome. We use data simulated from
the model to avoid the problem that market prices do not t the Heston
model perfectly.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/7371902
- author
- Nyström, Andreas
- supervisor
- organization
- course
- FMS820 20151
- year
- 2015
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 7371902
- date added to LUP
- 2015-06-18 15:01:47
- date last changed
- 2015-06-18 15:01:47
@misc{7371902,
abstract = {{The purpose of this thesis is to estimate the parameters in a stochastic
volatility model in order to hedge derivatives based on underlying assets
under the real probabilities as opposed to the standard method of esti-
mating them under the risk neutral probabilities. We choose a common
and reasonable but not to complex model of stock prices and other traded
nancial assets, the Heston model, as we don't want to use a model that
is irrelevant for practical applications or so complex as to make it compu-
tationally and theoretically too burdensome. We use data simulated from
the model to avoid the problem that market prices do not t the Heston
model perfectly.}},
author = {{Nyström, Andreas}},
language = {{eng}},
note = {{Student Paper}},
title = {{Inference and hedging of the Heston model under P (a simulation study)}},
year = {{2015}},
}