Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Pricing multi-asset options in exponential levy models
This dissertation looks at implementing exponential Levy models whereby the un- ´ derlyings are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are i...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
African Institute of Financial Markets and Risk Management
2020
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|