On the use of Lèvy processes in option pricing
In this dissertation, we t various nancial models to observed stock prices and we calculate the option prices under each of these models. All of the models considered are based on Lévy processes, which are processes with independent and identically distributed increments. The processes are popular...
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| Language: | en |
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University of Pretoria
2018
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| Online Access: | http://hdl.handle.net/2263/65902 Kwinje, CR 2017, On the use of Lèvy processes in option pricing, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/65902> |