Search for dissertations about: "jump bachelier"

Found 1 swedish dissertation containing the words jump bachelier.

2. 1. Pricing of Some Path-Dependent Options on Equities and Commodities

   Author : Mats Kjaer; Göteborgs universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cliquet options with global floor; Commodity swing options; Storage valuation; Correlation matrix modelling; Bachelier-Samuelson model; Jump-diffusion models; Futures curve models; Parabolic PDE PIDEs; Numerical integration; Finite difference methods.;

   Abstract : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. READ MORE