Now showing items 1-4 of 4

  • American Monte Carlo option pricing under pure jump levy models 

    West, Lydia (Stellenbosch : Stellenbosch University, 2013-03)
    ENGLISH ABSTRACT: We study Monte Carlo methods for pricing American options where the stock price dynamics follow exponential pure jump L évy models. Only stock price dynamics for a single underlying are considered. The ...
  • Fourier methods for pricing early-exercise options under levy dynamics 

    Fadina, Tolulope Rhoda (Stellenbosch : Stellenbosch University, 2012-12)
    ENGLISH ABSTRACT: The pricing of plain vanilla options, including early exercise options, such as Bermudan and American options, forms the basis for the calibration of financial models. As such, it is important to be ...
  • Model risk for barrier options when priced under different lévy dynamics 

    Mbakwe, Chidinma (Stellenbosch : Stellenbosch University, 2011-12)
    ENGLISH ABSTRACT: Barrier options are options whose payoff depends on whether or not the underlying asset price hits a certain level - the barrier - during the life of the option. Closed-form solutions for the prices ...
  • Pricing multi-asset options with levy copulas 

    Dushimimana, Jean Claude (Stellenbosch : University of Stellenbosch, 2011-03)
    ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. In the first part, we deal with single asset options and model the log stock prices with a Levy process. We employ ...