Merton’s jump diffusion model: introduction and simulation
Iacobucci, Fabio (A.A. 2020/2021) Merton’s jump diffusion model: introduction and simulation. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 24. [Bachelor's Degree Thesis]
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Abstract/Index
Probability framework. Probability space. Random variables. Discrete random variables. Continuous random variables. Expectation. Joint probabilities. Independency. Compound random variables. Stochastic processes. Counting processes. Poisson process. Compound poisson. Brownian motion. Levy processes. MonteCarlo. LLN. CLT. Pseudo number generator. General sampling methods. Simulation. Compound poisson process. Brownian motion. Geometric brownian motion. Jump diffusion. Merton jump diffusion model. Option pricing.
References
Bibliografia: p. 24.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2020/2021 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 11 Mar 2022 15:40 |
| Last Modified: | 11 Mar 2022 15:40 |
| URI: | https://tesi.luiss.it/id/eprint/31685 |
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