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Inference and hedging of the Heston model under P (a simulation study)

Nyström, Andreas (2015) In Master's Theses in Mathematical Sciences FMS820 20151
Mathematical 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:
author
Nyström, Andreas
supervisor
organization
course
FMS820 20151
year
type
H2 - Master's Degree (Two Years)
subject
publication/series
Master's Theses in Mathematical Sciences
report number
LUTFMS-3288-2015
ISSN
1404-6342
other publication id
2015:E36
language
English
id
7371902
date added to LUP
2015-06-18 15:01:47
date last changed
2024-10-11 12:27:18
@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}},
  issn         = {{1404-6342}},
  language     = {{eng}},
  note         = {{Student Paper}},
  series       = {{Master's Theses in Mathematical Sciences}},
  title        = {{Inference and hedging of the Heston model under P (a simulation study)}},
  year         = {{2015}},
}