Option Pricing on Levy Based Markets
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 the...
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| Format: | Others |
| Language: | English |
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Umeå universitet, Institutionen för matematik och matematisk statistik
2020
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-170714 |