Essays about: "Natalia Beata Nadratowska"

Found 1 essay containing the words Natalia Beata Nadratowska.

  1. 1. 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