Kuchuk-Iatsenko S. The absence of arbitrage and option pricing in nancial market models with stochastic volatility.

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0417U000869

Thesis Registration Form

0417U000869.pdf

Applicant for

Specialization

  • 01.01.05 - Теорія ймовірностей і математична статистика

10-04-2017

Specialized Academic Board

Д 26.001.37

Taras Shevchenko National University of Kyiv

Essay

The thesis is devoted to the study of conditions of absence of arbitrage and the option pricing in various models of nancial markets. The conditions of absence of arbitrage along with the exact formulas for the price of European call option are derived for the model of nancial market with stochastic volatility driven by the OrnsteinUhlenbeck process. The Euler - Maruyama discretization scheme is applied to derive the approximation for the option price. The estimate of the rate of convergence of the option prices in the discretization schemes to its exact value is determined.

Read more

Files

aref.pdf

dis.pdf

Similar theses

0524U000059

Vitalii V. Holomozyi

Ergodicity and stability of almost homogeneous Markov chains

0521U101910

Shklyar Serhiy V.

Measurement error models and their application in radioepidemiology

0421U101330

Petranova Maryna Yu.

Random Gaussian processes with stable correlation functions

0421U100920

Senko Ivan O.

Asymptotic properties of adjusted least squares estimator in vector linear model with errors-in-variables

0421U100942

Vovchanskyi Volodymyr Ya.

Coalescing stochastic flows and point processes