Sökning: "Damian Prochna"

Hittade 1 uppsats innehållade orden Damian Prochna.

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

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Natalia Beata Nadratowska; Damian Prochna; [2010]
    Nyckelord :Financial Mathematics; Laplace transform; Kou model; Double Exponential Jump-Diffusion; option pricing;

    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. LÄS MER