Numerical methods for option pricing under the CGMY process
Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesis
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
Engineering and Technology
IdentifiersURN: urn:nbn:se:uu:diva-252415OAI: oai:DiVA.org:uu-252415DiVA: diva2:813255
Master Programme in Engineering Physics
Höök, Josefvon Sydow, Lina
Nyberg, TomasLarsson, Elisabeth