Browsing Mathematics (Faculty of) by Subject "option pricing"
Now showing items 1-4 of 4
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Imputation, Estimation and Missing Data in Finance
(University of Waterloo, 2006)Suppose <em>X</em> is a diffusion process, possibly multivariate, and suppose that there are various segments of the components of <em>X</em> that are missing. This happens, for example, if <em>X</em> is the price of ... -
Lognormal Mixture Model for Option Pricing with Applications to Exotic Options
(University of Waterloo, 2012-08-23)The Black-Scholes option pricing model has several well recognized deficiencies, one of which is its assumption of a constant and time-homogeneous stock return volatility term. The implied volatility smile has been studied ... -
Numerical Methods for Nonlinear Equations in Option Pricing
(University of Waterloo, 2003)This thesis explores numerical methods for solving nonlinear partial differential equations (PDEs) that arise in option pricing problems. The goal is to develop or identify robust and efficient techniques that ... -
On the roughness of paths and processes
(University of Waterloo, 2021-09-10)In recent years, a significant amount of the stochastic volatility literature has focused on modelling the ``roughness" or irregularity of the unobserved volatility time series and its effect on option pricing. In many ...