Simulation of asset prices using Lévy processes

Master Thesis

2008

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http://hdl.handle.net/11427/4926
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thesis_sci_2008_riemer_m_l.pdf (5.54 MB)
Authors
Riemer, Mark L
Supervisors
Ouwehand, Peter
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University of Cape Town

Department
Department of Mathematics and Applied Mathematics
Faculty
Faculty of Science
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Abstract
This dissertation focuses on a Lévy process driven framework for the pricing of financial instruments. The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- it is the first step towards pricing and therefore must be done accurately and with care. This dissertation looks at different kinds of Lévy processes and the various approaches one can take when simulating them.
Description

Includes bibliographical references (leaves 93-97).

Keywords
Mathematics of Finance

Reference:

Riemer, M. 2008. Simulation of asset prices using Lévy processes. University of Cape Town.

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Masters