Option pricing under the double exponential jump-diffusion model by using the Laplace transform : Application to the Nordic market

Sammanfattning: In this thesis the double exponential jump-diffusion model is considered and the Laplace transform is used as a method for pricing both plain vanilla and path-dependent options. The evolution of the underlying stock prices are assumed to follow a double exponential jump-diffusion model. To invert the Laplace transform, the Euler algorithm is used. The thesis includes the programme code for European options and the application to the real data. The results show how the Kou model performs on the NASDAQ OMX Stockholm Market in the case of the SEB stock.