Simulation of asset prices using Lévy processes

This dissertation focuses on a Lévy process driven framework for the pricing of financial instruments. The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- it is the first step towards pricing and therefore must be done accurately and with care. This dissertation looks at different kinds of Lévy processes and the various approaches one can take when simulating them.

Grantor dc:publisher.institution

Department of Mathematics and Applied Mathematics

Year dc:date.issued

2008

Author dc:creator

• Riemer, Mark L

Advisor dc:contributor.advisor

• Ouwehand, Peter

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/4926

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/4926