A practical guide to pricing and hedging with Levy processes
This dissertation provides an accessible framework for simulating, pricing and hedging options contracts, using L evy processes that offers several insights and advantages when compared to conventional techniques (particularly when short dated options or options near maturity are considered). A m...
| Main Author: | |
|---|---|
| Format: | Others |
| Language: | en |
| Published: |
2011
|
| Online Access: | http://hdl.handle.net/10539/9242 |