PARAMETER ESTIMATION FOR GEOMETRIC L EVY PROCESSES WITH STOCHASTIC VOLATILITY
In finance, various stochastic models have been used to describe the price movements of financial instruments. After Merton's [38] seminal work, several jump diffusion models for option pricing and risk management have been proposed. In this dissertation, we add alpha-stable Levy motion to the...
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| Format: | Others |
| Language: | English |
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Florida Atlantic University
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| Online Access: | http://purl.flvc.org/fau/fd/FA00013294 |