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https://hdl.handle.net/10356/7472Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Lim, Hak Min. | en_US |
| dc.contributor.author | Lim, Gerald Kim Meng. | en_US |
| dc.contributor.author | Yeo, Yew Teck. | en_US |
| dc.date.accessioned | 2008-09-18T07:46:10Z | - |
| dc.date.available | 2008-09-18T07:46:10Z | - |
| dc.date.copyright | 2003 | en_US |
| dc.date.issued | 2003 | - |
| dc.identifier.uri | http://hdl.handle.net/10356/7472 | - |
| dc.description.abstract | In this paper, we examine the stochastic volatility model of Schobel and Zhu (1999) where volatility follows a mean-reverting Ornstein-Uhlenbeck process. This is basically an extension of the Stein and Stein model (1991) but which allows for correlation between instantaneous volatilities and spot returns. | en_US |
| dc.rights | Nanyang Technological University | en_US |
| dc.subject | DRNTU::Business::Finance::Options | - |
| dc.title | Option pricing under stochastic volatility model. | en_US |
| dc.type | Thesis | en_US |
| dc.contributor.supervisor | Low, Buen Sin | en_US |
| dc.contributor.school | College of Business (Nanyang Business School) | en_US |
| dc.description.degree | Master of Science (Financial Engineering) | en_US |
| item.fulltext | With Fulltext | - |
| item.grantfulltext | restricted | - |
| Appears in Collections: | NBS Theses | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| NBS-THESES_404.pdf Restricted Access | 7.06 MB | Adobe PDF | View/Open |
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