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. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2013.
| Identifer | oai:union.ndltd.org:fau.edu/oai:fau.digital.flvc.org:fau_13096 |
| Contributors | Rodrigues, Justin (author), Long, Hongwei (Thesis advisor), Charles E. Schmidt College of Science (Degree grantor), Department of Mathematical Sciences |
| Publisher | Florida Atlantic University |
| Source Sets | Florida Atlantic University |
| Language | English |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation, Text |
| Format | 50 p., Online Resource |
| Rights | All rights reserved by the source institution, http://rightsstatements.org/vocab/InC/1.0/ |
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