Tid: 4 februari 2008 kl 16.15-17.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Hanna Sahle

Titel: Pricing of Up-and-Out Options under Stochastic Volatility

Sammanfattning: The purpose of this Master's Degree project is to price up-and-out call options under Heston's stochastic volatility model, with and without jumps. An analytical pricing formula under these models is calibrated to market vanilla prices in order to determine unknown model parameters. The resulting parameters are then tested for stability. The nonconvex and nonlinear calibration problem is done mostly in Matlab but is also tested in Tomlab. Tomlab is an optimization platform for solving applied optimization problems in Matlab.

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