Tid: 12 mars 2001 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Camilla Hiertner .
Titel: The Dupire volatility model versus the stochastic volatility model for European call options. (Examensarbete)
Sammanfattning: In the context of pricing European call options, we compare the Dupire's complete market model through its instantaneous volatility with a typical 'theoretical' incomplete market model where the volatility of the price process evolves according to a jump process, independent of the driving Brownian motion.