Option Pricing on Levy Based Markets

Abstract:   The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options.  The theoretical modelling of Levy markets will lead to the implementation of fast Fourier transform-based algorithms for simulation and option pricing. Finally, the efficiency of these named Levy processes will be compared to the traditional Black-Scholes model.