On the calibration of Lévy option pricing models / Izak Jacobus Henning Visagie
In this thesis we consider the calibration of models based on Lévy processes to option prices observed in some market. This means that we choose the parameters of the option pricing models such that the prices calculated using the models correspond as closely as possible to these option prices. We d...
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| Language: | en |
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2016
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| Online Access: | http://hdl.handle.net/10394/15765 |
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