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Numerical methods for option pricing under the CGMY process
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing.
2015 (English)Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In this thesis European options are priced using the CGMY process to model the underlying assets. Four different methods are implemented and investigated, including a fractional partial differential equation solver, a partial integro differential equation solver, a stochastic differential equation solver and a cosine expansion method. We also derive the forward Kolmogorov fractional partial differential equation and partial integro differential equation.

Place, publisher, year, edition, pages
2015. , 52 p.
UPTEC F, ISSN 1401-5757 ; 15014
National Category
Engineering and Technology
URN: urn:nbn:se:uu:diva-252415OAI: oai:DiVA.org:uu-252415DiVA: diva2:813255
Educational program
Master Programme in Engineering Physics
Available from: 2015-05-27 Created: 2015-05-06 Last updated: 2015-05-27Bibliographically approved

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