Browsing by Author "Koimburi, Mercy Muthoni"

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    Finite activity jump models for option pricing
    (2011) Koimburi, Mercy Muthoni; Becker, Ronald
    This thesis aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. Bates model combines Merton's jump diffusion model and Heston's stochastic volatility model. We look at the calibration problem and use Matlab functions to model the DAX options volatility surface. Finally, using the parameters generated, we use the two stated models to price barrier options.