Browsing Theses by Subject "derivatives"
Now showing items 1-1 of 1
-
Pricing derivatives using Gram-Charlier Expansions
(University of Waterloo, 2013-04-22)In this thesis, we provide several applications of Gram-Charlier expansions in derivative pricing. We first give an exposition on how to calculate swaption prices under the the CIR2 model. Then we extend this method to ...