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dc.contributor.advisorRaus, Toomas, juhendaja
dc.contributor.authorHaske, Joseph Lyle
dc.contributor.otherTartu Ülikool. Loodus- ja täppisteaduste valdkondet
dc.contributor.otherTartu Ülikool. Matemaatika ja statistika instituutet
dc.description.abstractThe purpose of this thesis is to explore stochastic volatility models to price American and European options. The two methods used are both based on a quadrinomial tree, but the first uses an Ornstein-Uhlenbeck process and the Monte Carlo method with a quadrinomial recombining tree and the second uses the Heston model and a tree-based approach that combines a grid and bilinear interpolation to estimate the option price. The thesis is split into four chapters. In the first chapter, it gives an overview of options, option pricing models, and numerical methods. The second chapter discusses the quadrinomial recombining tree, and the third presents the tree-based approach that uses a grid and bilinear interpolation. Finally the fourth, presents the results of both methods and then compares their performance and flexibility.en
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.subjectrekombineerivad hinnapuudet
dc.subjectrecombining tree methodsen
dc.subjectstohhastilised volatiilsuse mudelidet
dc.subjectstochastic volatility modelsen
dc.subjectoptsioonide hindamineet
dc.subjectoption pricingen
dc.titleOption pricing using stochastic volatility modelset

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