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University of Greenwich
Computational option pricing under jump diffusion and Lévy processes
Abstract
dc:description.abstractThe shortcomings of diffusion models in representing the risk related to large market movements have led to the development of various option pricing models with jumps. These models allow for a more realistic representation of price dynamics and greater flexibility in modelling and have therefore been the focus of much recent work. In this thesis the development of a robust finite difference method for the option pricing under jump-diffusion and Lévy processes is presented and its effectiveness is demonstrated on a range of pricing models.
Degree
thesis:*- Name dc:type.qualificationname
- phd
- Level dc:type.qualificationlevel
- doctoral
- Grantor dc:publisher.institution
- University of Greenwich
- Year dc:date.issued
- 2015
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Chatzipanagou, Eleftheria
- Advisors dc:contributor.advisor
-
- Parrott, Kevin
- Lai, Choi-Hong
Subjects
dc:subject × 1Rights
- Language dc:language
- en