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