Applications of the Heston model on BIST30 warrants : Hedging and pricing
| dc.contributor.advisor | Sezer, Ali Devin | |
| dc.contributor.author | Mert, Özenç Murat | |
| dc.date.accessioned | 2020-12-10T09:05:57Z | |
| dc.date.available | 2020-12-10T09:05:57Z | |
| dc.date.submitted | 2016 | |
| dc.date.issued | 2018-08-06 | |
| dc.identifier.uri | https://acikbilim.yok.gov.tr/handle/20.500.12812/223635 | |
| dc.description.abstract | Heston modeli ilk ve en bilinen stokastik volatilite modellerinden biridir. Bu çalışmanınamacı Heston modelinin BIST30 üzerine yazılmıs¸ varantlar üzerindeki fiyat ve üretme(pricing and replication) performansını ve Heston modeli ile ilgili literatürde yapılmışgözlemlerin BIST30 verisiyle uyumunu incelemektir. | |
| dc.description.abstract | The Heston model is one of the first and known stochastic volatility models. The aimof this work is to study the performance of the Heston Model on pricing and hedgingthe warrants written on BIST30 and the compatibility between the observation of theHeston Model in the literature and BIST30 data. | en_US |
| dc.language | English | |
| dc.language.iso | en | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights | Attribution 4.0 United States | tr_TR |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | Maliye | tr_TR |
| dc.subject | Finance | en_US |
| dc.title | Applications of the Heston model on BIST30 warrants : Hedging and pricing | |
| dc.title.alternative | Heston modelinin BIST30 varantları üzerindeki uygulamaları: Üretme ve fiyatlama | |
| dc.type | masterThesis | |
| dc.date.updated | 2018-08-06 | |
| dc.contributor.department | Finansal Matematik Anabilim Dalı | |
| dc.identifier.yokid | 10123424 | |
| dc.publisher.institute | Uygulamalı Matematik Enstitüsü | |
| dc.publisher.university | ORTA DOĞU TEKNİK ÜNİVERSİTESİ | |
| dc.identifier.thesisid | 441928 | |
| dc.description.pages | 68 | |
| dc.publisher.discipline | Diğer |
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