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2013 (EN)

Option pricing with jump diffusion models

Σιδέρη, Καλλιόπη Κ.

Σκιαδόπουλος, Γεώργιος

This thesis discusses about option pricing with jump-diffusion models as well as their parameters effect on option prices through implied volatility figures. After introducing, the reasons about using these models, it discusses two more widely used jump-diffusion models. As amplification, it considers a stochastic volatility model which it compares with them, including their advantages and limitations.

Master Thesis

Options (Finance) -- Prices -- Mathematical models
Jump processes
Diffusion processes
Stochastic models


Greek

2013-05-16T06:35:07Z


Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές



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