Autor(es):
Monteiro, Rui Filipe da Silva 
Data: 2013
Identificador Persistente: http://hdl.handle.net/10451/10261
Origem: Repositório da Universidade de Lisboa
Assunto(s): Teses de mestrado - 2013
Detalhes do Documento
Option pricing with Lévy processes: jump models for European-style options
Descrição
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.
Tipo de Documento
Dissertação de Mestrado
Idioma Inglês
Orientador(es) Nunes, João Pedro Vidal
Idioma Inglês
Orientador(es) Nunes, João Pedro Vidal
| Financiadores do RCAAP | |||||||
|
|
|
|
|
|
||