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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