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Comparative analysis of the SVJJ and the Hyperbolic models on the Swedish market
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
2008 (English)Independent thesis Advanced level (degree of Master (One Year)), 40 credits / 60 HE creditsStudent thesis
Abstract [en]

In this thesis we investigate and compare two recently developed models of the option valuation according to the Swedish market. The first model is the Stochastic Volatility model with jumps in the stock price and the volatility (SVJJ) and the second is the Hyperbolic model. First of all we make brief introduction about the valuation of derivatives and considered models. Then we introduce methods for the estimation of parameters for each model. To solve this problem for the SVJJ model we use the Empirical Characteristic Function Estimation and for the Hyperbolic we use the Maximum Likelihood Method. Before explicit calculations (with estimated parameters) we describe the derivation of the pricing formula which is based on characteristic functions and densities. In conclusion we made numerical valuations of the call option prices for the OMXS30 index on the Swedish Stock Exchange. The main idea of this thesis is to compare 2 different models using numerical methods and the real data sets. To achieve this goal we firstly, compare the empirical characteristic function obtained from the market and the analytical ones for estimated parameters in case of both models. Secondly, we make a comparison of calculated call option prices and produce the summary.

Place, publisher, year, edition, pages
Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) , 2008.
Keywords [en]
SVJJ model, hyperbolic model
Identifiers
URN: urn:nbn:se:hh:diva-2200Local ID: 2082/2597OAI: oai:DiVA.org:hh-2200DiVA, id: diva2:239418
Presentation
(English)
Uppsok
Technology
Available from: 2008-12-15 Created: 2008-12-15 Last updated: 2009-10-26

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf