Essays about: "Natalia Beata Nadratowska"
Found 1 essay containing the words Natalia Beata Nadratowska.
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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)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
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