Option pricing with jump diffusion models

dc.contributor.advisor	Σκιαδόπουλος, Γεώργιος
dc.contributor.author	Σιδέρη, Καλλιόπη Κ.
dc.date.accessioned	2013-05-16T06:35:07Z
dc.date.available	2013-05-16T06:35:07Z
dc.date.issued	2013-05-16T06:35:07Z
dc.identifier.uri	https://dione.lib.unipi.gr/xmlui/handle/unipi/5375
dc.language.iso	el
dc.rights	Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/deed.el
dc.subject	Options (Finance) -- Prices -- Mathematical models
dc.subject	Stochastic models
dc.subject	Jump processes
dc.subject	Diffusion processes
dc.title	Option pricing with jump diffusion models
dc.type	Master Thesis
europeana.isShownAt	https://dione.lib.unipi.gr/xmlui/handle/unipi/5375
dc.identifier.call	332.64'5 ΣΙΔ
dc.description.abstractEN	This thesis discusses about option pricing with jump-diffusion models as well as their parameters effect on option prices through implied volatility figures. After introducing, the reasons about using these models, it discusses two more widely used jump-diffusion models. As amplification, it considers a stochastic volatility model which it compares with them, including their advantages and limitations.

Except where otherwise noted, this item's license is described as
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές