Pricing derivatives using Gram-Charlier Expansions

dc.contributor.author	Cheng, Yin-Hei
dc.date.accessioned	2013-04-22 17:58:18 (GMT)
dc.date.available	2013-04-22 17:58:18 (GMT)
dc.date.issued	2013-04-22T17:58:18Z
dc.date.submitted	2013-04-09
dc.identifier.uri	http://hdl.handle.net/10012/7413
dc.description.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.	en
dc.language.iso	en	en
dc.publisher	University of Waterloo	en
dc.subject	derivatives	en
dc.subject	Gram-Charlier	en
dc.title	Pricing derivatives using Gram-Charlier Expansions	en
dc.type	Master Thesis	en
dc.pending	false	en
dc.subject.program	Quantitative Finance	en
uws-etd.degree.department	Quantitative Finance	en
uws-etd.degree	Master of Quantitative Finance	en
uws.typeOfResource	Text	en
uws.peerReviewStatus	Unreviewed	en
uws.scholarLevel	Graduate	en