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Option Pricing under Stochastic Differential Equations

Graduate work

Generalized Bates Model with stochastic correlation and stochastic interest rate. Found analytical solution for characteristic function of the SDE system. Found almost-exact solution under Q measure. Applied measure transformation Q->T and found almost-exact solution under T-measure. Consider different stochastic correlation processes (Ornstein-Uhlenbek, DCL).

Main files Calibrations/Calibration_Main_Calls, Calibrations/Calibration_Main_Puts

All packages in folder AllFunctions