Option pricing under the double exponential jump-diffusion model by using the Laplace transform

Nadratowska, Natalia Beata

Option pricing under the double exponential jump-diffusion model by using the Laplace transform

Degree: 2010, Högskolan i Halmstad

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▼  In this thesis the double exponential jump-diffusion model is considered and the Laplace transform is used as a method for pricing both plain vanilla and path-dependent options. The evolution of the underlying stock prices are assumed to follow a double exponential jump-diffusion model. To invert the Laplace transform, the Euler algorithm is used. The thesis includes the programme code for European options and the application to the real data. The results show how the Kou model performs on the NASDAQ OMX Stockholm Market in the case of the SEB stock

Subjects/Keywords: Financial Mathematics; Laplace transform; Kou model; Double Exponential Jump-Diffusion; option pricing; Natural Sciences; Mathematics; Naturvetenskap; Matematik; Natural Sciences; Mathematics; Other Mathematics;Naturvetenskap; Matematik; Annan matematik; Natural Sciences; Mathematics; Computational Mathematics;Naturvetenskap; Matematik; Beräkningsmatematik; MATHEMATICS; MATEMATIK; MATHEMATICS; Other mathematics;MATEMATIK; Övrig matematik; MATHEMATICS; Applied mathematics; MATEMATIK; Tillämpad matematik; Financial Mathematics; Finansiell matematik; Physics, Chemistry, Mathematics; fysik/kemi/matematik