Option Pricing Models Built From Levy Processes
Download and Read Option Pricing Models Built From Levy Processes full books in PDF, ePUB, and Kindle. Read online free Option Pricing Models Built From Levy Processes ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Option Pricing Models Built from Lévy Processes
Author | : Benoît Delahaut |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Option Pricing Models Built from Lévy Processes Book in PDF, Epub and Kindle
This thesis seeks to studying two different methods of option pricing - one introduced in Carr and Madan (1999), and the other one in F.Fang and Oosterlee (2008) - suitable for stock prices following stochastic processes whose characteristic function is known. The advantage of these methods is that they do not require an explicit formula for the density function. For each method, we determine good computation parameters before comparing them in terms of efficiency and accuracy. As an intermediary step, and because the Carr-Madan method is not compatible with a customised strike grid, we study two interpolation methods : the linear and the natural cubic spline interpolations. We also discuss the calibration problem, explain why it is not as straightforward as it may seem, and compare the results obtained for both models.
Option Pricing Models Built from Lévy Processes Related Books
Pages:
Pages: 200
Pages: 344
Pages: 47
Pages: 35