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- W891531738 abstract "The purpose of this thesis is to estimate the parameters in a stochasticvolatility model in order to hedge derivatives based on underlying assetsunder the real probabilities as opposed to the standard method of esti-mating them under the risk neutral probabilities. We choose a commonand reasonable but not to complex model of stock prices and other tradednancial assets, the Heston model, as we don't want to use a model thatis irrelevant for practical applications or so complex as to make it compu-tationally and theoretically too burdensome. We use data simulated fromthe model to avoid the problem that market prices do not t the Hestonmodel perfectly." @default.
- W891531738 created "2016-06-24" @default.
- W891531738 creator A5052767284 @default.
- W891531738 date "2015-01-01" @default.
- W891531738 modified "2023-09-24" @default.
- W891531738 title "Inference and hedging of the Heston model under P (a simulation study)" @default.
- W891531738 hasPublicationYear "2015" @default.
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