Hedging in a discontinuous market: the barrier option and the unlikely profit
Corea, Francesco (A.A. 2012/2013) Hedging in a discontinuous market: the barrier option and the unlikely profit. Tesi di Laurea in Mathematical methods for economics and finance, LUISS Guido Carli, relatore Fausto Gozzi, pp. 25. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
The toolbox. Modeling the jumps: the real challenge. Numerical procedure.
References
Bibliografia: pp. 21-23.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Mathematical methods for economics and finance |
| Thesis Supervisor: | Gozzi, Fausto |
| Thesis Co-Supervisor: | Renò, Roberto |
| Academic Year: | 2012/2013 |
| Session: | Summer |
| Uncontrolled Keywords: | Calibration. Volatility smile. Monte Carlo simulation. Poisson jump. |
| Deposited by: | Maria Teresa Nisticò |
| Date Deposited: | 26 Mar 2014 13:27 |
| Last Modified: | 20 Nov 2018 11:31 |
| URI: | https://tesi.luiss.it/id/eprint/11507 |
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