Essays about: "Kou model"

Found 3 essays containing the words Kou model.

  1. 1. 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

  3. 2. Option pricing under the double exponential jump-diffusion model by using the Laplace transform : Application to the Nordic market

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Natalia Beata Nadratowska; Damian Prochna; [2010]
    Keywords : Financial Mathematics; Laplace transform; Kou model; Double Exponential Jump-Diffusion; option pricing;

    Abstract : In this thesis the double exponential jump-diffusion model is considered and the Laplace transform is used as a method for pricing both plain vanilla and path-dependent options. The evolution of the underlying stock prices are assumed to follow a double exponential jump-diffusion model. To invert the Laplace transform, the Euler algorithm is used. READ MORE

  4. 3. Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou model

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Agnieszka Pszczola; Grzegorz Walachowski; [2009]
    Keywords : Bipower variation; Barndorff-Nielsen and Shephard test; Stylized facts; Double exponential jump-diffusion model; Kou model; Options pricing; Cumulant matching;

    Abstract : The purpose of this study is to identify an impact on an option pricing within NASDAQ OMX Stockholm Market, if the underlying asset prices include jumps. The current financial crisis, when jumps are much more evident than ever, makes this issue very actual and important in the global sense for the portfolio hedging and other risk management applications for example for the banking sector. READ MORE