Essays about: "jump-diusion"

Found 3 essays containing the word jump-diusion.

1. 1. Pricing of American Options

   University essay from Lunds universitet/Matematisk statistik

   Author : Erik Andreasson; [2013]
   Keywords : Mathematics and Statistics;

   Abstract : This thesis investigates the free boundary value problem of pricing American put options written on one underlying asset. In particular, attention is given to nd an accurate approximation of the critical ex- ercise boundary. READ MORE

3. 2. Pricing Contingent Convertibles using an EquityDerivatives Jump Diusion Approach

   University essay from KTH/Matematisk statistik

   Author : Henrik Teneberg; [2012]
   Keywords : Contingent Convertible; CoCo; jump-diusion; pricing; adaptive mesh model;

   Abstract : This paper familiarizes the reader with contingent convertibles and their role in the current financial landscape. A contingent convertible is a security behaving like a bond in normal times, but that converts into equity or is written down in times of turbulence. READ MORE

4. 3. Pricing of exotic options under the Kou model by using the Laplace transform

   University essay from Tillämpad matematik och fysik (MPE-lab)

   Author : Gayk Dzharayan; Elena Voronova; [2011]
   Keywords : Financial Mathematics; Double exponential jump-diusion model; Kou model; Laplace transform; Laplace transform inversion; two-dimensional Euler algorithm; two-asset correlation options.;

   Abstract : In this thesis we present the Laplace transform method of option pricing and it's realization, also compare it with another methods. We consider vanilla and exotic options, but more attention we pay to the two-asset correlation options. READ MORE