Jeremy Berros

AMERICAN OPTION PRICING IN A JUMP-DIFFUSION MODEL

ÉVALUATION D''OPTION AMÉRICAINE DANS UN MODÈLE DE DIFFUSION AVEC SAUTS

• Broschiertes Buch

Produktbeschreibung

Many alternative models have been developed lately to generalize the Black-Scholes option pricing model in order to incorporate more empirical features. Brownian motion and normal distribution have been used in this Black-Scholes option-pricing framework to model the return of assets. However, two main points emerge from empirical investigations: (i) the leptokurtic feature that describes the return distribution of assets as having a higher peak and two asymmetric heavier tails than those of the normal distribution, and (ii) an empirical phenomenon called "volatility smile" in option markets. Among the recent models that addressed the aforementioned issues is that of Kou (2002), which allows the price of the underlying asset to move according to both Brownian increments and double-exponential jumps. The aim of this thesis is to develop an analytic pricing expression for American options in this model that enables us to e±ciently determine both the price and related hedging parameters.

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Produktdetails

• Verlag: LAP Lambert Academic Publishing
• Seitenzahl: 60
• Erscheinungstermin: 27. September 2010
• Englisch
• Abmessung: 220mm x 150mm x 4mm
• Gewicht: 107g
• ISBN-13: 9783843356930
• ISBN-10: 3843356939
• Artikelnr.: 31969915

Autorenporträt

Jeremy Berros was born in Compiegne, France. He earned his Engineer''s degree from "ENSAM ParisTech Grande Ecole". In 2009 he received his Master''s degree with concentration in quantitative Finance in the Department of Industrial and Systems Engineering at the University of Florida. He is actually working as Project-Business Manager in Paris.