Pricing derivatives using Gram-Charlier Expansions
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Date
2013-04-22T17:58:18Z
Authors
Cheng, Yin-Hei
Advisor
Journal Title
Journal ISSN
Volume Title
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.
Description
Keywords
derivatives, Gram-Charlier