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Thesis_MS.pdf (1.06 MB)
ETD Abstract Container
Abstract Header
Volatility of European Options
Author Info
Khandelwal, Vasudha
Permalink:
http://rave.ohiolink.edu/etdc/view?acc_num=osu1554809434581109
Abstract Details
Year and Degree
2019, Master of Science, Ohio State University, Mathematics.
Abstract
European options are the most fundamental financial derivatives which are ex- tensively traded in the current world. They form as an underlying for various exotic derivatives. The objective of this thesis is to understand pricing models of European puts and calls - in a way that is consistent with the market quoted prices. Three different models are considered for it, Dupire model - deterministic local volatility model; Heston model - simple mean-reverting stochastic volatility model; and SABR model - complex non-mean-reverting stochastic volatility model. Further, their re- lation to market quoted Black-Scholes implied volatility is explored. Advantages and disadvantages of each model are discussed when applying it to the options on S&P500.
Committee
Chunsheng Ban (Advisor)
Pages
39 p.
Subject Headings
Mathematics
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Citations
Khandelwal, V. (2019).
Volatility of European Options
[Master's thesis, Ohio State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=osu1554809434581109
APA Style (7th edition)
Khandelwal, Vasudha.
Volatility of European Options.
2019. Ohio State University, Master's thesis.
OhioLINK Electronic Theses and Dissertations Center
, http://rave.ohiolink.edu/etdc/view?acc_num=osu1554809434581109.
MLA Style (8th edition)
Khandelwal, Vasudha. "Volatility of European Options." Master's thesis, Ohio State University, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1554809434581109
Chicago Manual of Style (17th edition)
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Document number:
osu1554809434581109
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Copyright Info
© 2019, all rights reserved.
This open access ETD is published by The Ohio State University and OhioLINK.