Three Essays on Exotic Option Pricing, Multivariate Lévy Processes and Linear Aggregation of Panel Models

Three Essays on Exotic Option Pricing, Multivariate Lévy Processes and Linear Aggregation of Panel Models

This thesis is composed of three chapters that form two parts. The first part is composed of two chapters and studies problems related to the exotic option market. In the first chapter we are interested in a numerical problem. More precisely we derive closed-form approximations for the price of some...

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Bibliographic Details
Main Author: Petkovic, Alexandre
Other Authors: Griselda Deelstra
Format: Others
Language:en
Published: Universite Libre de Bruxelles 2009
Subjects:
Lévy processes
panel data
Online Access:http://theses.ulb.ac.be/ETD-db/collection/available/ULBetd-03112009-161511/
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spelling ndltd-BICfB-oai-ulb.ac.be-ETDULB-ULBetd-03112009-1615112013-01-07T15:43:44Z Three Essays on Exotic Option Pricing, Multivariate Lévy Processes and Linear Aggregation of Panel Models Petkovic, Alexandre Lévy processes panel data This thesis is composed of three chapters that form two parts. The first part is composed of two chapters and studies problems related to the exotic option market. In the first chapter we are interested in a numerical problem. More precisely we derive closed-form approximations for the price of some exotic options in the Black and Scholes framework. The second chapter discusses the construction of multivariate Lévy processes with and without stochastic volatility. The second part is composed of one chapter. It deals with a completely different issue. There we will study the problem of individual and temporal aggregation in panel data models. Griselda Deelstra David Veredas Jean-Marie Reinhard Christian Hafner Michèle Vanmaele Davy Paindaveine Universite Libre de Bruxelles 2009-03-16 text application/pdf http://theses.ulb.ac.be/ETD-db/collection/available/ULBetd-03112009-161511/ http://theses.ulb.ac.be/ETD-db/collection/available/ULBetd-03112009-161511/ en mixed J'accepte que le texte de la thèse (ci-après l'oeuvre), sous réserve des parties couvertes par la confidentialité, soit publié dans le recueil électronique des thèses ULB. A cette fin, je donne licence à ULB : - le droit de fixer et de reproduire l'oeuvre sur support électronique : logiciel ETD/db - le droit de communiquer l'oeuvre au public Cette licence, gratuite et non exclusive, est valable pour toute la durée de la propriété littéraire et artistique, y compris ses éventuelles prolongations, et pour le monde entier. Je conserve tous les autres droits pour la reproduction et la communication de la thèse, ainsi que le droit de l'utiliser dans de futurs travaux. Je certifie avoir obtenu, conformément à la législation sur le droit d'auteur et aux exigences du droit à l'image, toutes les autorisations nécessaires à la reproduction dans ma thèse d'images, de textes, et/ou de toute oeuvre protégés par le droit d'auteur, et avoir obtenu les autorisations nécessaires à leur communication à des tiers. Au cas où un tiers est titulaire d'un droit de propriété intellectuelle sur tout ou partie de ma thèse, je certifie avoir obtenu son autorisation écrite pour l'exercice des droits mentionnés ci-dessus.
collection NDLTD
language en
format Others
sources NDLTD
topic Lévy processes
panel data
spellingShingle Lévy processes
panel data
Petkovic, Alexandre
Three Essays on Exotic Option Pricing, Multivariate Lévy Processes and Linear Aggregation of Panel Models
description This thesis is composed of three chapters that form two parts. The first part is composed of two chapters and studies problems related to the exotic option market. In the first chapter we are interested in a numerical problem. More precisely we derive closed-form approximations for the price of some exotic options in the Black and Scholes framework. The second chapter discusses the construction of multivariate Lévy processes with and without stochastic volatility. The second part is composed of one chapter. It deals with a completely different issue. There we will study the problem of individual and temporal aggregation in panel data models.
author2 Griselda Deelstra
author_facet Griselda Deelstra
Petkovic, Alexandre
author Petkovic, Alexandre
author_sort Petkovic, Alexandre
title Three Essays on Exotic Option Pricing, Multivariate Lévy Processes and Linear Aggregation of Panel Models
title_short Three Essays on Exotic Option Pricing, Multivariate Lévy Processes and Linear Aggregation of Panel Models
title_full Three Essays on Exotic Option Pricing, Multivariate Lévy Processes and Linear Aggregation of Panel Models
title_fullStr Three Essays on Exotic Option Pricing, Multivariate Lévy Processes and Linear Aggregation of Panel Models
title_full_unstemmed Three Essays on Exotic Option Pricing, Multivariate Lévy Processes and Linear Aggregation of Panel Models
title_sort three essays on exotic option pricing, multivariate lévy processes and linear aggregation of panel models
publisher Universite Libre de Bruxelles
publishDate 2009
url http://theses.ulb.ac.be/ETD-db/collection/available/ULBetd-03112009-161511/
work_keys_str_mv AT petkovicalexandre threeessaysonexoticoptionpricingmultivariatelevyprocessesandlinearaggregationofpanelmodels
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