Browsing TEZLER by Author "246211fd670699c7cf3c700cbf83f069"

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    • Application of stochastic volatility models with jumps to bist options 

      Rahiminejat, Monireh (ORTA DOĞU TEKNİK ÜNİVERSİTESİ/Uygulamalı Matematik Enstitüsü, 2018-09-27)
      This thesis gives a derivation of call and put option pricing formulas under stochastic volatility models with jumps; the precise model is a combination of Merton and Heston models. The derivation is based on the computation ...