Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Simulation of asset prices using Lévy processes
Includes bibliographical references (leaves 93-97).
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613182900568064 |
|---|---|
| access_status_str | Open Access |
| author | Riemer, Mark L |
| author2 | Ouwehand, Peter |
| author_browse | Ouwehand, Peter Riemer, Mark L |
| author_facet | Ouwehand, Peter Riemer, Mark L |
| author_sort | Riemer, Mark L |
| collection | Thesis |
| description | Includes bibliographical references (leaves 93-97). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4926 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:05.102Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4926 Simulation of asset prices using Lévy processes Riemer, Mark L Ouwehand, Peter Mathematics of Finance Includes bibliographical references (leaves 93-97). This dissertation focuses on a Lévy process driven framework for the pricing of financial instruments. The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- it is the first step towards pricing and therefore must be done accurately and with care. This dissertation looks at different kinds of Lévy processes and the various approaches one can take when simulating them. 2014-07-31T08:10:53Z 2014-07-31T08:10:53Z 2008 Master Thesis Masters MSc http://hdl.handle.net/11427/4926 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics of Finance Riemer, Mark L Simulation of asset prices using Lévy processes |
| thesis_degree_str | Master's |
| title | Simulation of asset prices using Lévy processes |
| title_full | Simulation of asset prices using Lévy processes |
| title_fullStr | Simulation of asset prices using Lévy processes |
| title_full_unstemmed | Simulation of asset prices using Lévy processes |
| title_short | Simulation of asset prices using Lévy processes |
| title_sort | simulation of asset prices using levy processes |
| topic | Mathematics of Finance |
| url | http://hdl.handle.net/11427/4926 |
| work_keys_str_mv | AT riemermarkl simulationofassetpricesusinglevyprocesses |