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Option pricing with Lévy processes: jump models for European-style options

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 wit...