Stochastic time-changed Lévy processes with their implementation
Includes bibliographical references. === We focus on the implementation details for Lévy processes and their extension to stochastic volatility models for pricing European vanilla options and exotic options. We calibrated five models to European options on the S&P500 and used the calibrated mode...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Dissertation |
| Language: | English |
| Published: |
University of Cape Town
2015
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11427/13156 |