Sökning: "Damian Prochna"
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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)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
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