# Thesis on options

Since the stock market crash of Octobermodelling implied volatility increasingly became a non-trivial issue.

The approach for computing implied volatility turned out to be considerably more complex than the pricing formula itself. In her doctoral thesis Kun Huang investigates and develops efficient option pricing models which can be used in equity and interest rate derivative markets. The approaches introduced in her thesis produce arbitrage-free implied volatility.

Practically, different option pricing models are used in different derivative markets. My thesis investigates option pricing models used in foreign exchange option, thesis on options option and interest rate option markets, says Huang.

The compelling results show its good performance for pricing equity index options. In her thesis Huang also develops a hybrid model which combines the advantages of the stochastic volatility and local volatility models.

No exceptions.

The hybrid model yields particularly good results when the stochastic process of underlying asset price and thesis on options variance are simulated using a quasi-Monte Carlo method with Romberg extrapolation in the case of an independent Brownian motion.

Its weakness came to light in the case of low and negative interest rate, which is a feature of financial market now.

Her formula is built under the SABR process and takes into account the probability mass of the forward rate being zero, says Huang. You can read the doctoral thesis here.

- Export to EndNote Abstract Throughout twentieth century, it has become increasingly common for executives to be remunerated with stock options, contracts which allow the recipient to buy company stock at a predetermined price, thus giving the incentive to maximize the stock price in order to increase the value of the stock option contract.
- Earn bitcoin with instant withdrawal of money to
- No exceptions.
- How to issue bitcoins
- Master's Thesis Pricing of American Options | Semantic Scholar
- Thesis vs. Non-Thesis option in Masters - MS or MBA in USA ? - RedBus2US
- Master's Thesis Pricing of American Options | Semantic Scholar
- Binary options trading system for 60 seconds