Empirical Research on Chinese Warrants Market Based on the Montecarlo Pricing Options Under Levy Process
نویسندگان
چکیده
منابع مشابه
Option pricing with Levy Process
In this paper, we assume that log returns can be modelled by a Levy process. We give explicit formulae for option prices by means of the Fourier transform. We explain how to infer the characteristics of the Levy process from option prices. This enables us to generate an implicit volatility surface implied by market data. This model is of particular interest since it extends the seminal Black Sc...
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ژورنال
عنوان ژورنال: American Journal of Applied Mathematics
سال: 2015
ISSN: 2330-0043
DOI: 10.11648/j.ajam.20150303.19