Pricing derivatives using Gram-Charlier Expansions

derivatives;Gram-Charlier;Quantitative Finance

Cheng, Yin-Hei

University of Waterloo

关键词: derivatives;    Gram-Charlier;    Quantitative Finance;   

Others  :  https://uwspace.uwaterloo.ca/bitstream/10012/7413/1/Cheng_Yin.pdf

瑞士|英语

来源: UWSPACE Waterloo Institutional Repository

【 摘 要 】

In this thesis, we provide several applications of Gram-Charlier expansions in derivativepricing. We first give an exposition on how to calculate swaption prices under thethe CIR2 model. Then we extend this method to CIR2++ model. We also develop aprocedure to calculate European call options under Heston’s model of stochastic volatilityby Gram-Charlier Expansions.