Author(s):
Monteiro, Rui Filipe da Silva 
Date: 2013
Persistent ID: http://hdl.handle.net/10451/10261
Origin: Repositório da Universidade de Lisboa
Subject(s): Teses de mestrado - 2013
Document details
Option pricing with Lévy processes: jump models for European-style options
Description
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2013 The goal of this dissertation is to explain how the pricing of European-style options under Lévy processes, namely jump and jump diffusion processes, can be performed and the mathematics associated with it. For this purpose, three models are exposed: Merton, Kou and Variance Gamma, each with different valuation approaches. A Monte Carlo path simulation is also explained. Finally, calibration of the models to real data takes place.
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2013 The goal of this dissertation is to explain how the pricing of European-style options under Lévy processes, namely jump and jump diffusion processes, can be performed and the mathematics associated with it. For this purpose, three models are exposed: Merton, Kou and Variance Gamma, each with different valuation approaches. A Monte Carlo path simulation is also explained. Finally, calibration of the models to real data takes place.
Document Type
Master Thesis
Language English
Advisor(s) Nunes, João Pedro Vidal
Language English
Advisor(s) Nunes, João Pedro Vidal
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