Chatzipanagou, Eleftheria (2015) Computational option pricing under jump diffusion and Lévy processes. PhD thesis, University of Greenwich.

Preview

PDF Eleftheria Chatzipanagou 2015.pdf - Published Version Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (2MB) | Preview

Abstract

The shortcomings of diffusion models in representing the risk related to large market movements have led to the development of various option pricing models with jumps. These models allow for a more realistic representation of price dynamics and greater flexibility in modelling and have therefore been the focus of much recent work. In this thesis the development of a robust finite difference method for the option pricing under jump-diffusion and Lévy processes is presented and its effectiveness is demonstrated on a range of pricing models.

Item Type:	Thesis (PhD)
Uncontrolled Keywords:	mathematical sciences; jump-diffusion; Lévy processes;
Subjects:	Q Science > QA Mathematics
Faculty / School / Research Centre / Research Group:	Faculty of Engineering & Science > School of Computing & Mathematical Sciences (CMS) Faculty of Engineering & Science
Last Modified:	04 Mar 2022 13:07
URI:	http://gala.gre.ac.uk/id/eprint/18087

Actions (login required)

View Item

Downloads