Now showing items 1-4 of 4

    • Imputation, Estimation and Missing Data in Finance 

      DiCesare, Giuseppe (University of Waterloo, 2006)
      Suppose <em>X</em> is a diffusion process, possibly multivariate, and suppose that there are various segments of the components of <em>X</em> that are missing. This happens, for example, if <em>X</em> is the price of ...
    • Lognormal Mixture Model for Option Pricing with Applications to Exotic Options 

      Fang, Mingyu (University of Waterloo, 2012-08-23)
      The Black-Scholes option pricing model has several well recognized deficiencies, one of which is its assumption of a constant and time-homogeneous stock return volatility term. The implied volatility smile has been studied ...
    • Numerical Methods for Nonlinear Equations in Option Pricing 

      Pooley, David (University of Waterloo, 2003)
      This thesis explores numerical methods for solving nonlinear partial differential equations (PDEs) that arise in option pricing problems. The goal is to develop or identify robust and efficient techniques that ...
    • On the roughness of paths and processes 

      Avilez, Jose Luis (University of Waterloo, 2021-09-10)
      In recent years, a significant amount of the stochastic volatility literature has focused on modelling the ``roughness" or irregularity of the unobserved volatility time series and its effect on option pricing. In many ...

      UWSpace

      University of Waterloo Library
      200 University Avenue West
      Waterloo, Ontario, Canada N2L 3G1
      519 888 4883

      All items in UWSpace are protected by copyright, with all rights reserved.

      DSpace software

      Service outages