Blar i NTNU Open på forfatter "Hornæs, Kristin Kaarbø"
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Numerical Models for Jump Diffusion Processes: A Finite Element Approach
Hornæs, Kristin Kaarbø (Master thesis, 2013)In this thesis we propose a finite element solution to the jump diffusion problem for pricing options. We focus on assets following CGMY processes and formulate the problem in weak bilinear form. In the case where the CGMY ...