Sökning: "affine jumpdiffusions"
Hittade 1 uppsats innehållade orden affine jumpdiffusions.
1. Pricing a basket option when volatility is capped using affinejump-diffusion models
Magister-uppsats, KTH/Matematisk statistikSammanfattning : This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. LÄS MER
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