Essays about: "Merton jump diffusion model"

Showing result 6 - 10 of 10 essays containing the words Merton jump diffusion model.

  1. 6. Merton Jump-Diffusion Modeling of Stock Price Data

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : Furui Tang; [2018]
    Keywords : Black-Scholes Model; Poisson Process; Compound Poisson Process; Merton Jump-Diffusion Model;

    Abstract : In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. READ MORE

  3. 7. Information content and pricing of options a jump-diffusion setting

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Kristaps Vasiljevs; [2016]
    Keywords : Merton jump-diffusion model; Calibration; Asian option; Oil; Pricing;

    Abstract : It is believed that information that is incorporated within market prices is accurate and useful. To evaluate this, I, first of all, calibrate the Merton jump-diffusion model to oil options over the period from 2009 to 2015. I show that the retrieved parameters capture market events properly and appropriately. READ MORE

  4. 8. Pricing of CO2 Emission Allowance Derivatives

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Oscar Göransson; Sebastian Berggren; [2016]
    Keywords : CO2; EUA; GARCH; JUMP-DIFFUSION;

    Abstract : The aim of this paper is to analyse the pricing of carbon emission allowance futures and futures options to see how they can help us understand the intuition behind spot prices of the underlying emission allowance. We use data from the third time period within the European Union Emissions Trading Scheme. READ MORE

  5. 9. 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

  6. 10. Regularized Calibration of Jump-Diffusion Option Pricing Models

    University essay from Institutionen för datavetenskap, fysik och matematik, DFM

    Author : Hiba Nassar; [2010]
    Keywords : Regularization; Stochastic Process; Option Pricing; Merton Model; Calibration Problem;

    Abstract : An important issue in finance is model calibration. The calibration problem is the inverse of the option pricing problem. Calibration is performed on a set of option prices generated from a given exponential L´evy model. READ MORE