Essays about: "Geometric Brownian Motion with Jump diffusion"

Found 2 essays containing the words Geometric Brownian Motion with Jump diffusion.

1. 1. Valuation of spread options using the fast Fourier transform under stochastic volatility and jump diffusion models

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Max Andersson; [2015]
   Keywords : Fast Fourier transform; Spread options; Derivatives pricing; Stochastic volatility; Jump diffusion; Business and Economics; Mathematics and Statistics;

   Abstract : Spread options have become very popular in basically every sector of the financial markets, although the pricing of these derivatives still remains a challenge. In this thesis we examine the pricing of spread options using the fast Fourier transform (FFT). READ MORE

3. 2. Predictive Power of the Volatility Smile

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Henry Li; Johan Möller; [2011]
   Keywords : Volatility smile; Geometric Brownian Motion with Jump diffusion; Maximum Likelihood Estimation; Jump risk; Predictive Power;

   Abstract : The Black-Scholes option pricing formula yield lower volatility than volatility observed in the market when looking at option prices. Several theories have been presented to explain this phenomenon and how the world of finance can use this information. READ MORE