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A Log-Mixed Gaussian Jump Diffusion Model: Numerically Pricing American and European Options and Analyzing Calibration Techniques
Başlık:
A Log-Mixed Gaussian Jump Diffusion Model: Numerically Pricing American and European Options and Analyzing Calibration Techniques
Yazar:
Kostakis, Dimitrios, author.
ISBN:
9780438107380
Yazar Ek Girişi:
Fiziksel Tanımlama:
1 electronic resource (80 pages)
Genel Not:
Source: Masters Abstracts International, Volume: 57-06M(E).
Advisors: Thomas Monza Lonon Committee members: Ionut Florescu.
Özet:
In this thesis we model the asset price using jump diffusion with a log mixed Gaussian distribution as the jump size. This jump diffusion model follows a Partial Integro-Differential Equation (PIDE). We calibrate the model using a variety of techniques including clustering and the EM-Algorithm using historical log returns for equity stocks and indices. To further calibrate the model we then investigate risk neutral pricing by fitting lambda using at-the-money (ATM) derivative options. Finally, choosing the best set of calibrated parameters we implement numerical methods to price American and European options. An explicit finite difference scheme is implemented by discretizing the PIDE.
Notlar:
School code: 0733
Tüzel Kişi Ek Girişi:
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Yer Numarası | Demirbaş Numarası | Shelf Location | Lokasyon / Statüsü / İade Tarihi |
---|---|---|---|
XX(692580.1) | 692580-1001 | Proquest E-Tez Koleksiyonu | Arıyor... |
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