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Laguardia, David (2016) Pricing and hedging of a portfolio of options in the presence of stochastic volatility. [Magistrali biennali]

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Abstract

Dopo aver fatto pricing di un basket di opzioni sul S&P500 sia con black-scholes che Heston, vengono effettuate diverse strategie di hedging dinamico (Delta, Delta-Gamma, Delta-Gamma-Vega)

Item Type:Magistrali biennali
Corsi di Diploma di Laurea:Pre 2012-Facolta di Economia > Economia e finanza
Uncontrolled Keywords:pricing
Subjects:Area 13 - Scienze economiche e statistiche > SECS-P/05 Econometria
Codice ID:51681
Relatore:Caporin, Massimiliano
Data della tesi:2016
Biblioteca:Polo di Scienze Sociali > Biblioteca del Dipartimento di Scienze Economiche"Marco Fanno"
Tesi sperimentale (Si) o compilativa (No)?:No

Bibliografia

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