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Articles

Regime-Switching, Stochastic Volatility, and Numerical Approaches in Option Pricing

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By Ying Ni, Anatoliy Malyarenko, Lu Jin, Achref Bachouch
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Nyckelord: NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik; Sammanfattning: This thesis presents advancements in the valuation and modeling of financial derivatives, with a focus on American and Bermudan options. Traditional models such as Black–Scholes assume constant volatility, often leading to inaccurate pricing during periods of high market turbulence.
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