Date of Award
2013
Document Type
Thesis
Publication Status
Version of Record
Submission Date
October 2026
Thesis/Dissertation Advisor [Chair]
Long, Hongwei
Abstract
The main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Levy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We will use each of the three models to price real world stock data through software simulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion.
Extent
50 p.
Recommended Citation
Rodrigues, Justin, "Simulation study on option pricing under jump diffusion models" (2013). Electronic Theses and Dissertations 2010 - 2019. 868.
https://digitalcommons.fau.edu/etd_general_6/868
Identifier
FA0004051
Comments
Includes bibliography.|Thesis (M.S.)--Florida Atlantic University, 2013.|Includes bibliography.