Essays about: "Bates model with lognormal jumps"
Found 1 essay containing the words Bates model with lognormal jumps.
University essay from KTH/Matematisk statistik
Abstract : This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. READ MORE