Browsing Mathematics (Faculty of) by Author "Cheng, Yin-Hei"
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Pricing derivatives using Gram-Charlier Expansions
Cheng, Yin-Hei (University of Waterloo, 2013-04-22)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 ...