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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
10 years ago | 660 downloads |
Submitted
SimulationOfDeltaHedgingStrategy
Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs
11 years ago | 602 downloads |
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
11 years ago | 275 downloads |
