Pricing derivatives using Gram-Charlier Expansions
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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.
Cite this work
Yin-Hei Cheng (2013). Pricing derivatives using Gram-Charlier Expansions. UWSpace. http://hdl.handle.net/10012/7413