Now showing items 1-5 of 5

    • 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 ...

    • The Levy-LIBOR model with default risk 

      Walljee, Raabia (Stellenbosch : Stellenbosch University, 2015-03)
      ENGLISH ABSTRACT : In recent years, the use of Lévy processes as a modelling tool has come to be viewed more favourably than the use of the classical Brownian motion setup. The reason for this is that these processes provide ...

    • 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 ...