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Financial Derivatives

C/F/1052. Dissertation. Carr-Mayo approach to Numerical Evaluation of Option Prices in Jump Diffusion

WORDS:
16300
DATE:
2011
PRICE:
169.99 GBP

The dissertation looks at the derivative instruments used in financial markets examining the models of options valuation and aiming to solve the partial integral differential equation (PIDE) in a jump diffusion model. Literature is reviewed on the theory of options pricing and valuation of financial securities, the history of options and option trading, the models of option pricing, etc. The study is based on the methods proposed by Carr and Mayo to solve the PID equation of option pricing. Recommendations are suggested to traders and investors about the use of options pricing and valuation models.

 

KEYWORDS: Dissertation, Carr-Mayo, Numerical Evaluation of Option Prices, Jump Diffusion, options valuation, options pricing, financial derivatives,

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