PARAMETER ESTIMATION FOR GEOMETRIC L EVY PROCESSES WITH STOCHASTIC VOLATILITY

In finance, various stochastic models have been used to describe the price movements of financial instruments. After Merton's [38] seminal work, several jump diffusion models for option pricing and risk management have been proposed. In this dissertation, we add alpha-stable Levy motion to the...

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Bibliographic Details
Other Authors: Chhetri, Sher B. (author)
Format: Others
Language:English
Published: Florida Atlantic University
Subjects:
Online Access:http://purl.flvc.org/fau/fd/FA00013294