Engineering Commons^™

Implementing The Heston Option Pricing Model In Object-Oriented Cython, Brandon Hardin

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The 1973 Black-Scholes model, a revolutionary option pricing formula whose price is 'relatively close to observed prices, makes an assumption that the volatility is constant and thus, deterministic. This causes some inefficiencies and patterns in the pricing of options due to the model providing evidence of the volatility smile' of the volatility. Many scholars have suggested that the volatility should be modelled by a stochastic process and the (1993) Heston Model is one of many proposed solutions to remedy this problem. The Heston Model allows for the 'smile' by defining the volatility as a stochastic process. This thesis considers a …

Optimization Of Roadway Electrification Integrating Wireless Power Transfer: Technoeconomic Assessment And Lifecycle Analysis, Braden J. Limb

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

Electric vehicles are the main technology currently being pursued to reduce dependence on fossil fuels in the transportation sector. These vehicles provide both reduced greenhouse gas emissions and decreased operating costs when compared to conventional internal combustion vehicles, while providing the flexibility to use both renewable and fossil energy. However, these vehicles have seen limited consumer adoption due to their large purchase prices and limited driving range. Both purchase price and driving range are related to the large onboard battery systems required for electric vehicle travel.

One solution to decrease dependence on large battery systems has focused on charging vehicles …