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Filtering by: Advisor Sayit, Hasanjan Unit (Department) Mathematical Sciences

Asymptotic Methods for Stochastic Volatility Option Pricing: An Explanatory Study

Keyword:

asymptotic expansion and stochastic volatility option pricing

Creator:

Chen, Lichen

Advisor:

Sayit, Hasanjan

Publisher:

Worcester Polytechnic Institute

Date Created:

2011-01-13

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Minimizing the Probability of Ruin in Exchange Rate Markets

Keyword:

optimal investment, stochastic calculus, and Stochastic Optimal Control

Creator:

Chase, Tyler A.

Advisor:

Sayit, Hasanjan

Publisher:

Worcester Polytechnic Institute

Date Created:

2009-04-30

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
A Preliminary View of Calculating Call Option Prices Utilizing Stochastic Volatility Models

Keyword:

Option Pricing, Stochastic volatility, and CIR Model

Creator:

shen, karl

Advisor:

Sayit, Hasanjan

Publisher:

Worcester Polytechnic Institute

Date Created:

2009-04-29

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences