Algorithms for improving the efficiency of CEV, CIR and JDCEV option pricing models

The non-central chi-square distribution function has extensive use in the field of Mathematical Finance. To a great extent, this is due to its involvement in the constant elasticity of variance (hereafter, CEV) option pricing model of Cox (1975), in the term structure of interest rates model of Cox...

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Detalhes bibliográficos
Autor principal: Sousa, Pedro Filipe Botelho Negrão de (author)
Formato: masterThesis
Idioma:eng
Publicado em: 2017
Assuntos:
Option pricing
JDCEV model
Special functions
Algorithms
Finanças
Matemática financeira
Preços
Opções
Algoritmo
Portugal
Texto completo:http://hdl.handle.net/10071/14406
País:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/14406

Texto Completo

http://hdl.handle.net/10071/14406

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