The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options. The theoretical modelling of Levy markets will lead to the implementation of fast Fourier transform-based algorithms for simulation and option pricing. Finally, the efficiency of these named Levy processes will be compared to the traditional Black-Scholes model. Utvecklingen av nya metoder för modellering av finansmarknaderna har alltid varit ett område av betydelse inom finansiell matematik. Därför undersöker detta examensarbete användbarheten av tre L...
In this thesis, important theories in financial mathematics will be explained and derived. These the...
The diploma thesis is focused on the option pricing methods. There are described basic features of t...
In the Black-Scholes option price model Brownian motion and the un-derlying Normal distribution play...
In this thesis we consider two models for the computation of option prices. The first one is a gener...
This thesis presents the theoretical material needed to price European call options in the classical...
ABSTRACT. We develop a new method for pricing options on discretely sampled arithmetic average in ex...
In this paper the problem of European option valuation in a Levy process setting is analysed. In our...
W ostatnich 20 latach teoria procesów Lévyego oraz innych procesów sto-chastycznych ze skokami, staj...
In this thesis, modelling with Lévy processes is considered in three parts. In the first part, the g...
A Lévy process is a stochastic process that has stationary and independent increments. Log returns o...
This paper aims to derive the Black-Scholes equation for readers without advanced knowledge in finan...
This thesis develops a generic framework based on the Fourier transform for pricing and hedging of v...
We consider a geometric Levy market model. Since these markets are generally incomplete, we cannot f...
We show how to calculate European-style option prices when the log-stock price process follows a Lev...
The Black-Scholes model has been widely used to find the prices of option, while several generalizat...
In this thesis, important theories in financial mathematics will be explained and derived. These the...
The diploma thesis is focused on the option pricing methods. There are described basic features of t...
In the Black-Scholes option price model Brownian motion and the un-derlying Normal distribution play...
In this thesis we consider two models for the computation of option prices. The first one is a gener...
This thesis presents the theoretical material needed to price European call options in the classical...
ABSTRACT. We develop a new method for pricing options on discretely sampled arithmetic average in ex...
In this paper the problem of European option valuation in a Levy process setting is analysed. In our...
W ostatnich 20 latach teoria procesów Lévyego oraz innych procesów sto-chastycznych ze skokami, staj...
In this thesis, modelling with Lévy processes is considered in three parts. In the first part, the g...
A Lévy process is a stochastic process that has stationary and independent increments. Log returns o...
This paper aims to derive the Black-Scholes equation for readers without advanced knowledge in finan...
This thesis develops a generic framework based on the Fourier transform for pricing and hedging of v...
We consider a geometric Levy market model. Since these markets are generally incomplete, we cannot f...
We show how to calculate European-style option prices when the log-stock price process follows a Lev...
The Black-Scholes model has been widely used to find the prices of option, while several generalizat...
In this thesis, important theories in financial mathematics will be explained and derived. These the...
The diploma thesis is focused on the option pricing methods. There are described basic features of t...
In the Black-Scholes option price model Brownian motion and the un-derlying Normal distribution play...