Skip navigation

Computational option pricing under jump diffusion and Lévy processes

Computational option pricing under jump diffusion and Lévy processes

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

[img]
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 / Department / Research Group: Faculty of Architecture, Computing & Humanities
Faculty of Architecture, Computing & Humanities > Department of Mathematical Sciences
Last Modified: 20 Nov 2017 11:09
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
Selected for GREAT 2019: None
URI: http://gala.gre.ac.uk/id/eprint/18087

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics