Note
Includes bibliography.
Member of
Contributors
Publisher
Florida Atlantic University
Date Issued
2013
EDTF Date Created
2013
Description
The main objective of this thesis is to simulate, evaluate and discuss several
methods for pricing European-style options. The Black-Scholes model has long been
considered the standard method for pricing options. One of the downfalls of the
Black-Scholes model is that it is strictly continuous and does not incorporate discrete
jumps. This thesis will consider two alternate Levy models that include discretized
jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion.
We will use each of the three models to price real world stock data through software
simulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion.
methods for pricing European-style options. The Black-Scholes model has long been
considered the standard method for pricing options. One of the downfalls of the
Black-Scholes model is that it is strictly continuous and does not incorporate discrete
jumps. This thesis will consider two alternate Levy models that include discretized
jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion.
We will use each of the three models to price real world stock data through software
simulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion.
Language
Type
Form
Extent
50 p.
Subject (Topical)
Identifier
FA0004051
Additional Information
Includes bibliography.
Thesis (M.S.)--Florida Atlantic University, 2013.
Date Backup
2013
Date Created Backup
2013
Date Text
2013
Date Created (EDTF)
2013
Date Issued (EDTF)
2013
Extension
FAU
IID
FA0004051
Issuance
single unit
Organizations
Attributed name: Charles E. Schmidt College of Science
Attributed name: Department of Mathematical Sciences
Person Preferred Name
Rodrigues, Justin
author
Graduate College
Physical Description
Online Resource
50 p.
Title Plain
Simulation study on option pricing under jump diffusion models
Use and Reproduction
http://rightsstatements.org/vocab/InC/1.0/
Origin Information
2013
2013
Florida Atlantic University
single unit
Physical Location
Florida Atlantic University Digital Library
Sub Location
Boca Raton, Fla.
Title
Simulation study on option pricing under jump diffusion models
Other Title Info
Simulation study on option pricing under jump diffusion models