My third essay investigates the European vanilla option pricing and calibration procedure in equity options market with using Heston's stochastic volatility model. I consider Euro Stoxx 50 market volatilities for vanilla call and put options. To the best of our knowledge, wide range of call and put deltas for Risk reversals and Butterflies were firstly used in the literature in my paper. Even though there were some small fitting problems in very short maturity, the calibration method produced very good results for short, medium and long term option maturities. Important distinction of my study is, I didn't use a penalty function on calibration parameters.My second essay investigates the calibration technique applied to Hestona#39;s stochastic volatility model in currency options markets. I use closed form solution to price European vanilla call and put options and calibrate the Hestona#39;s model to anbsp;...
|Title||:||Essays on Financial Derivatives: Essay One. Predicting Future Volatility in Currency Options Market. Essay Two. Calibration of Heston's Model in Currency Options Market. Essay Three. Pricing European Options and Calibration in Equity-linked Derivatives Market|
|Publisher||:||ProQuest - 2007|