American Monte Carlo option pricing under pure jump levy models

American Monte Carlo option pricing under pure jump levy models

Thesis (MSc)--Stellenbosch University, 2013. === ENGLISH ABSTRACT: We study Monte Carlo methods for pricing American options where the stock price dynamics follow exponential pure jump L évy models. Only stock price dynamics for a single underlying are considered. The thesis begins with a general...

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Bibliographic Details
Main Author: West, Lydia
Other Authors: Ouwehand, P. W.
Format: Others
Published: Stellenbosch : Stellenbosch University 2013
Subjects:
Exponential Levy processes
Model calibration
Dissertations > Mathematics
Theses > Mathematics
Options (Finance) > Prices > United States
Levy processes
Options (Finance) > Prices > Mathematical models
Monte Carlo method
Online Access:http://hdl.handle.net/10019.1/79994

Internet

http://hdl.handle.net/10019.1/79994

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