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Title: Computational option pricing under jump diffusion and Lévy processes
Author: Chatzipanagou, Eleftheria
ISNI:       0000 0004 6494 3980
Awarding Body: University of Greenwich
Current Institution: University of Greenwich
Date of Award: 2015
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The shortcomings of diffusion models in representing the risk related to large market movements have led to the development of various option pricing models with jumps. These models allow for a more realistic representation of price dynamics and greater flexibility in modelling and have therefore been the focus of much recent work. In this thesis the development of a robust finite difference method for the option pricing under jump-diffusion and Lévy processes is presented and its effectiveness is demonstrated on a range of pricing models.
Supervisor: Parrott, Kevin ; Lai, Choi-Hong Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: QA Mathematics