Add to ORKGIncludes bibliographical references (leaves [51] - 55).The purpose of this study is to price options under jump diffusions using Fourier Transforms and obtain the implied volatility surface from these option prices
Bibliography: leaves 58-59.This study is intended to be a rigorous examination of a valid and attrac...
Although the Black and Scholes (1973) model achieved great success in option pricing theory, the two...
Exotic equity options are specialized instruments which are typically traded over the counter. Their...
The copyright of this thesis vests in the author. No quotation from it or information derived from i...
Includes abstract.Includes bibliographical references (leaves 81-83).It is well documented that fina...
The Bates model provides a parsimonious fit to implied volatility surfaces, and its usefulness in de...
Includes abstract.Includes bibliographical references (p. 110-113).This dissertation investigates th...
Includes bibliographical references (leaves 144-149).This work will present an option pricing model ...
Includes bibliographical referencesOver the last few decades, there has been vast interest in the mo...
The dissertation seeks to have an exploration into the most commonly used option pricing models. As ...
In this thesis, modelling with Lévy processes is considered in three parts. In the first part, the g...
Includes bibliographical references (leaves 97-100).This study examines two approaches to modelling ...
ABSTRACT This dissertation analyses, compares and explores the implied volatility of the tradition...
A Dissertation Submitted in Partial Fulfillment of the Requirements for the Degree of Master’s in M...
In general, the daily logarithmic returns of individual stocks are not normally distributed. This po...
Bibliography: leaves 58-59.This study is intended to be a rigorous examination of a valid and attrac...
Although the Black and Scholes (1973) model achieved great success in option pricing theory, the two...
Exotic equity options are specialized instruments which are typically traded over the counter. Their...
The copyright of this thesis vests in the author. No quotation from it or information derived from i...
Includes abstract.Includes bibliographical references (leaves 81-83).It is well documented that fina...
The Bates model provides a parsimonious fit to implied volatility surfaces, and its usefulness in de...
Includes abstract.Includes bibliographical references (p. 110-113).This dissertation investigates th...
Includes bibliographical references (leaves 144-149).This work will present an option pricing model ...
Includes bibliographical referencesOver the last few decades, there has been vast interest in the mo...
The dissertation seeks to have an exploration into the most commonly used option pricing models. As ...
In this thesis, modelling with Lévy processes is considered in three parts. In the first part, the g...
Includes bibliographical references (leaves 97-100).This study examines two approaches to modelling ...
ABSTRACT This dissertation analyses, compares and explores the implied volatility of the tradition...
A Dissertation Submitted in Partial Fulfillment of the Requirements for the Degree of Master’s in M...
In general, the daily logarithmic returns of individual stocks are not normally distributed. This po...
Bibliography: leaves 58-59.This study is intended to be a rigorous examination of a valid and attrac...
Although the Black and Scholes (1973) model achieved great success in option pricing theory, the two...
Exotic equity options are specialized instruments which are typically traded over the counter. Their...