Pricing derivatives using Gram-Charlier Expansions

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Date

2013-04-22T17:58:18Z

Authors

Cheng, Yin-Hei

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Publisher

University of Waterloo

Abstract

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 CIR2++ model. We also develop a procedure to calculate European call options under Heston’s model of stochastic volatility by Gram-Charlier Expansions.

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Keywords

derivatives, Gram-Charlier

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