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 Simulation study on option pricing under jump diffusion models.

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Type of Resource: text

Genre: Electronic Thesis or Dissertation

Issuance: single unit

Date Created: Fall 2013

Date Issued: 2013

Publisher: Florida Atlantic University

Physical Form: Online Resource

Extent: 50 p.

Language(s): English

Summary: The main objective of this thesis is to simulate, evaluate and discuss severalmethods for pricing European-style options. The Black-Scholes model has long beenconsidered the standard method for pricing options. One of the downfalls of theBlack-Scholes model is that it is strictly continuous and does not incorporate discretejumps. This thesis will consider two alternate Levy models that include discretizedjumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion.We will use each of the three models to price real world stock data through softwaresimulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion.

Identifier: FA0004051 (IID)

Note(s): Includes bibliography.Thesis (M.S.)--Florida Atlantic University, 2013.

Subject(s): Finance -- Mathematical modelsLevy processesPrices -- Econometric modelsStatistical physicsStochastic processesValuation -- Econometric models

Held by: Florida Atlantic University Digital Library

Sublocation: Boca Raton, Fla.

Persistent Link to This Record:

Restrictions on Access: All rights reserved by the source institution

Owner Institution: FAU

Autor: Rodrigues, Justin, author Long, Hongwei Dr., Thesis advisor Charles E. Schmidt College of Science, Degree grantor



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