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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Stellenbosch : Stellenbosch University
2013
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| Online Access: | http://hdl.handle.net/10019.1/79994 |