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