Essays about: "Jump-diffusion"

Showing result 16 - 20 of 30 essays containing the word Jump-diffusion.

  1. 16. 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. 17. Hedging European options under a jump-diffusion model with transaction costs

    University essay from Göteborgs universitet/Graduate School

    Author : Simon Evaldsson; Gustav Hallqvist; [2014-07-23]
    Keywords : ;

    Abstract : This thesis investigates the performance of hedging strategies when the underlying asset is governed by Merton (1976)’s jump-diffusion model. We hedge a written European call option and analyse the performance through simulation of stock prices. READ MORE

  4. 18. Analytical Valuation of American-Style Asian Options under Jump-Diffusion Processes

    University essay from Uppsala universitet/Analys och sannolikhetsteori

    Author : Stefane Saize; [2014]
    Keywords : ;

    Abstract : .... READ MORE

  5. 19. Pricing Timer Options under Jump-Diffusion Processes

    University essay from Lunds universitet/Matematisk statistik

    Author : Janis Müller; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : Timer options are relatively new exotic options with the feature that they expire as soon as the accumulated realized variance exceeds a predefined level. This construction leads to a random time to maturity instead of having a fixed exercise day. READ MORE

  6. 20. 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