Beyond black scholes: fourier transform methods for European option pricing

Paroli, Marco (A.A. 2021/2022) Beyond black scholes: fourier transform methods for European option pricing. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Marco Pirra, pp. 121. [Master's Degree Thesis]

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Abstract/Index

Risk-neutral valuation. Probability theory. Brownian motion. Martingale pricing. Lévy processes. Poisson process. Lévy-Itô decomposition. Jump-diffusion. Variance-gamma. Time-varying volatility. Local volatility. Stochastic volatility. Stochastic volatility jump-diffusion. Fourier transform methods. Fourier transform. Option pricing. Calibration.

References

Bibliografia: pp. 87-91.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair: Asset pricing
Thesis Supervisor: Pirra, Marco
Thesis Co-Supervisor: Borri, Nicola
Academic Year: 2021/2022
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 14 Mar 2023 11:35
Last Modified: 14 Mar 2023 11:35
URI: https://tesi.luiss.it/id/eprint/35370

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