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Feeds
Submitted
Log-Normal Stochastic Volatility Model: Moment Generating Function and Pricing of Vanilla Options
Compute option prices under log-normal stochastic volatility model and calibrate model parameters
9 years ago | 1 download |
Submitted
SimulationOfDeltaHedgingStrategy
Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs
10 years ago | 1 download |
Submitted
Log-Normal Stochastic Volatility Model: Pricing of Vanilla Options and Econometric Estimation
Implementation of the econometric estimation of the log-normal stochastic volatility model
10 years ago | 1 download |
