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Fast Valuation of Options under Parameter Uncertainty

Wu, Hanna (2014) In Master's Theses in Mathematical Sciences MASM01 20141
Mathematical Statistics
Abstract (Swedish)
Option valuation is typically done under the unrealistic assumption of perfect knowledge
about model parameters. This thesis shows that risk-neutral valuation, while
still adressing the parameter uncertainty, can be computed for a variety of models
within the Fourier framework. This results in a computationally inexpensive
method for valuating options. A study of S&P500 index option data shows that the
method improves the predictive performances of the Black&Scholes, Merton and
Heston models.
Please use this url to cite or link to this publication:
author
Wu, Hanna
supervisor
organization
course
MASM01 20141
year
type
H2 - Master's Degree (Two Years)
subject
publication/series
Master's Theses in Mathematical Sciences
report number
LUNFMS-3058-2014
ISSN
1404-6342
other publication id
2014:E41
language
English
id
4519486
date added to LUP
2014-06-26 13:07:59
date last changed
2024-10-14 15:23:09
@misc{4519486,
  abstract     = {{Option valuation is typically done under the unrealistic assumption of perfect knowledge
about model parameters. This thesis shows that risk-neutral valuation, while
still adressing the parameter uncertainty, can be computed for a variety of models
within the Fourier framework. This results in a computationally inexpensive
method for valuating options. A study of S&P500 index option data shows that the
method improves the predictive performances of the Black&Scholes, Merton and
Heston models.}},
  author       = {{Wu, Hanna}},
  issn         = {{1404-6342}},
  language     = {{eng}},
  note         = {{Student Paper}},
  series       = {{Master's Theses in Mathematical Sciences}},
  title        = {{Fast Valuation of Options under Parameter Uncertainty}},
  year         = {{2014}},
}