Pricing of European, Bermudan and American Options under the Exponential Variance Gamma Process
This dissertation reports on a study of the pricing of European, Bermudan and American put options where the stock price is driven by an exponential Variance Gamma process. Closed-form solutions (for European options), Monte Carlo methods (for Bermudan options) and Finite Difference methods (for all...
| المؤلف الرئيسي: | |
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| التنسيق: | أطروحة |
| منشور في: |
Mathematical Institute;University of Oxford
2009
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