Add to ORKGIn 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
In this paper we propose new option pricing models based on class of models with jump contain in the...
We introduce a pricing model for equity options in which sample paths follow a variance-gamma (VG) j...
In the setting of \aÆne " jump-diusion state processes, this paper pro-vides an analytical trea...
In this thesis we present the Laplace transform method of option pricing and it's realization, also ...
This paper aims to extend the analytical tractability of the Black–Scholes model to alternative mode...
In this paper, a new technique for pricing of European and American Parisian options, that we call t...
We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-e...
In this thesis, modelling with Lévy processes is considered in three parts. In the first part, the g...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...
Numerical methods are developed for pricing European and American options under Kou’s jump-diffusion...
This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SI...
Laplace transform method (LTM) has a lot of applications in the evaluation of European-style options...
This paper considers the problem of pricing American options when the dynamics of the underlying are...
We propose a new computational method for the valuation of options in jump-diffusion models. The opt...
In this paper we propose new option pricing models based on class of models with jump contain in the...
We introduce a pricing model for equity options in which sample paths follow a variance-gamma (VG) j...
In the setting of \aÆne " jump-diusion state processes, this paper pro-vides an analytical trea...
In this thesis we present the Laplace transform method of option pricing and it's realization, also ...
This paper aims to extend the analytical tractability of the Black–Scholes model to alternative mode...
In this paper, a new technique for pricing of European and American Parisian options, that we call t...
We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-e...
In this thesis, modelling with Lévy processes is considered in three parts. In the first part, the g...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...
Numerical methods are developed for pricing European and American options under Kou’s jump-diffusion...
This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SI...
Laplace transform method (LTM) has a lot of applications in the evaluation of European-style options...
This paper considers the problem of pricing American options when the dynamics of the underlying are...
We propose a new computational method for the valuation of options in jump-diffusion models. The opt...
In this paper we propose new option pricing models based on class of models with jump contain in the...
We introduce a pricing model for equity options in which sample paths follow a variance-gamma (VG) j...
In the setting of \aÆne " jump-diusion state processes, this paper pro-vides an analytical trea...