Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Finite activity jump models for option pricing
Includes bibliographical references
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2014
|
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613284243341312 |
|---|---|
| access_status_str | Open Access |
| author | Koimburi, Mercy Muthoni |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Koimburi, Mercy Muthoni |
| author_facet | Becker, Ronald Koimburi, Mercy Muthoni |
| author_sort | Koimburi, Mercy Muthoni |
| collection | Thesis |
| description | Includes bibliographical references |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/9115 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:41.762Z |
| 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 | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/9115 Finite activity jump models for option pricing Koimburi, Mercy Muthoni Becker, Ronald Includes bibliographical references This thesis aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. Bates model combines Merton's jump diffusion model and Heston's stochastic volatility model. We look at the calibration problem and use Matlab functions to model the DAX options volatility surface. Finally, using the parameters generated, we use the two stated models to price barrier options. 2014-11-05T03:48:45Z 2014-11-05T03:48:45Z 2011 Master Thesis Masters MSc http://hdl.handle.net/11427/9115 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Koimburi, Mercy Muthoni Finite activity jump models for option pricing |
| thesis_degree_str | Master's |
| title | Finite activity jump models for option pricing |
| title_full | Finite activity jump models for option pricing |
| title_fullStr | Finite activity jump models for option pricing |
| title_full_unstemmed | Finite activity jump models for option pricing |
| title_short | Finite activity jump models for option pricing |
| title_sort | finite activity jump models for option pricing |
| url | http://hdl.handle.net/11427/9115 |
| work_keys_str_mv | AT koimburimercymuthoni finiteactivityjumpmodelsforoptionpricing |