Blar i Institutt for fysikk på forfatter "Jakobsen, Espen Robstad"

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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 ...

    • Pricing Put Options using Heston's Stochastic Volatility Model 

      Våg, Andreas Brandsøy (Master thesis, 2013)
      The Heston model is a partial differential equation which is used to price options and is a further developed version of the more famous Black-Scholes equation. Heston considers stochastic volatility which results in an ...