Essays about: "Bates model with lognormal jumps"

Found 1 essay containing the words Bates model with lognormal jumps.

  1. 1. Pricing a basket option when volatility is capped using affinejump-diffusion models

    University essay from KTH/Matematisk statistik

    Author : Daniel Krebs; [2013]
    Keywords : Exotic option; basket option; risk management; greeks; affine jumpdiffusions; the Black-Scholes model; the Heston model; Bates model with lognormal jumps; the Bates model with log-asymmetric double exponential jumps; the Stochastic-Volatility-Simultaneous-Jumps SVSJ -model; the Sepp-model;

    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