You are here

FAU Collections » FAU Research Repository » FAU Theses and Dissertations

Simulation study on option pricing under jump diffusion models

Download pdf | Full Screen View

Date Issued:
2013
Summary:
The main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Levy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We will use each of the three models to price real world stock data through software simulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion.
Title: Simulation study on option pricing under jump diffusion models.
651 views
90 downloads
Name(s): Rodrigues, Justin, author
Long, Hongwei, Thesis advisor
Charles E. Schmidt College of Science, Degree grantor
Department of Mathematical Sciences
Type of Resource: text
Genre: Electronic Thesis Or Dissertation
Issuance: single unit
Date Created: Fall 2013
Date Issued: 2013
Publisher: Florida Atlantic University
Physical Form: Online Resource
Extent: 50 p.
Language(s): English
Summary: The main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Levy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We will use each of the three models to price real world stock data through software simulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion.
Identifier: FA0004051 (IID)
Note(s): Includes bibliography.
Thesis (M.S.)--Florida Atlantic University, 2013.
Subject(s): Finance -- Mathematical models
Levy processes
Prices -- Econometric models
Statistical physics
Stochastic processes
Valuation -- Econometric models
Held by: Florida Atlantic University Digital Library
Sublocation: Boca Raton, Fla.
Persistent Link to This Record: http://purl.flvc.org/fau/fd/FA0004051
Restrictions on Access: All rights reserved by the source institution
Restrictions on Access: http://rightsstatements.org/vocab/InC/1.0/
Host Institution: FAU