Akademik Veri Yönetim Sistemi
Tezin Türü: Yüksek Lisans
Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Türkiye
Tezin Onay Tarihi: 2019
Öğrenci: Selin Tekten
Danışman: ÖMÜR UĞUR
Özet:This study investigates the time contingent behavior of risk factor USDTRY. Option pricing models Black-Scholes and Heston has been utilized to estimate the behavior. The adjusted Black-Sholes model is the current market practice to model USDTRY risk factor. Market practitioners do not prefer to use constant volatility in the Black-Scholes Model, which violates the model assumption. They instead interpolate the volatility surface from market data of implied volatilities and use them in Black-Scholes Model. However, Heston model admits varying volatilities. The Heston Model adds a dimension to the Black-Scholes model by letting the volatility to be a stochastic process. In this thesis, we have used interpolated volatility surface as a benchmark for testing the results estimated by the Heston Model. Furthermore, while estimating option prices, Overnight-Indexed-Swap (OIS) discounting framework has been governed to achieve risk-free rates. The test results have indicated that Heston stochastic volatility model with OIS discounting offers arbitrage-free pricing with similar computation efficiency to the benchmark.