Option pricing with Lévy processes: jump models for European-style options

• Author(s): Monteiro, Rui Filipe da Silva
• Date: 2013
• Persistent ID: http://hdl.handle.net/10451/10261
• Origin: Repositório da Universidade de Lisboa
• Subject(s): Teses de mestrado - 2013
• Document Type: Master thesis
• Language: English
• Advisor(s): Nunes, João Pedro Vidal
• Contributor(s): Repositório da Universidade de Lisboa

Description

Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2013

The goal of this dissertation is to explain how the pricing of European-style options under Lévy processes, namely jump and jump diffusion processes, can be performed and the mathematics associated with it. For this purpose, three models are exposed: Merton, Kou and Variance Gamma, each with different valuation approaches. A Monte Carlo path simulation is also explained. Finally, calibration of the models to real data takes place.