ماه: دسامبر 2015

Zhang, Changyong. Numerical weak approximation of stochastic differential equations driven by Levy processes. Degree: PhD, Applied Mathematics, 2010, University of Southern California برای دانلود این پایان نامه اینجا کلیک کنید. ▼ Levy processes are the simplest generic class of processes having a.s. continuous paths interspersed with jumps of arbitrary sizes occurring at random times, which makes them useful tools in a […]

Jum, Ernest. Numerical Approximation of Stochastic Differential Equations Driven by Levy Motion with Infinitely Many Jumps. Degree: 2015, University of Tennessee – Knoxville برای دانلود این پایان نامه اینجا کلیک نمایید. ▼ In this dissertation, we consider the problem of simulation of stochastic differential equations driven by pure jump Levyprocesses with infinite jump activity. Examples include, the class of stochastic differential equations […]

Sushko, Stepan. Pricing of European type options for Levy and conditionally Levy type models. Degree: 2008, Högskolan i Halmstad برای دانلود این پایان نامه اینجا کلیک نمایید. ▼  In this thesis we consider two models for the computation of option prices. The first one is a generalization of the Black-Scholes model. In this generalization the volatility Sigma is not a […]

Nohrouzian, Hossein. Lattice Approximations for Black-Scholes type models in Option Pricing. Degree: 2013, Mälarden University برای دانلود این پایان نامه اینجا کلیک نمایید. ▼  This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. Furthermore, the […]

Belova, Anna. Meshfree methods in option pricing. Degree: 2011, Högskolan i Halmstad برای دانلود این پایان نامه اینجا کلیک نمایید. ▼  A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American […]

Nadratowska, Natalia Beata Option pricing under the double exponential jump-diffusion model by using the Laplace transform Degree: 2010, Högskolan i Halmstad برای دانلود این پایان نامه اینجا کلیک نمایید. ▼  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 […]