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Montakan Thongpan. Option Pricing for Jump - Diffusion with Stochastic Volatility and Intensity. Master's Degree(Mathematics). มหาวิทยาลัยเทคโนโลยีราชมงคลธัญบุรี. : Rajamanagala Univetsity of Technology Thanyaburi, 2013.
Option Pricing for Jump - Diffusion with Stochastic Volatility and Intensity
Name: Montakan Thongpan
Address:
Patumthani
Organization :
Rajamangala University of Technology Thanyaburi. Faculty of Science and Technology
keyword:
jump - diffusion model
ThaSH:
Stochastic Analysis
Classification :.LCCS: QA 551
ThaSH:
Mathematics
Abstract:
It is widely believed that the volatility of asset returns tends to be time varying
and occasionally clustered, which leads to various stochastic volatility models. The
assumption of constant intensity is relaxed to allow stochastic intensity. Combinations
lead to stochastic volatility and stochastic intensity models, as well as jump-diffusion
with stochastic volatility and stochastic intensity models.
In this thesis, a jump-diffusion combined with stochastic volatility model and
stochastic intensity is considered and its presentations include: the dynamics of asset
price in which the asset price follows a geometric Brownian motion, compound Poisson
processes with the stochastic volatility following Heston model, and the stochastic
intensity following mean reverting process.
A formula of the European option is calculated by using a technique based on
the characteristic function of the underlined asset which can be expressed in an explicit
formula.
มหาวิทยาลัยเทคโนโลยีราชมงคลธัญบุรี
Address:
ปทุมธานี
Email:
elibrary@mail.rmutt.ac.th
Role:
Advisor
Created:
2013
Modified:
2015-05-20
Issued:
2015-05-20
วิทยานิพนธ์/Thesis
application/pdf
CallNumber:
THE QA 551 .M66
eng
DegreeName: Master of Science and Technology
Level: Master's Degree
Descipline: Mathematics
©copyrights Rajamangala Univetsity of Technology Thanyaburi
RightsAccess:
ใช้เวลา
0.025957 วินาที
Montakan Thongpan
| Title | Contributor | Type |
|---|---|---|
| Option Pricing for Jump - Diffusion with Stochastic Volatility and Intensity
มหาวิทยาลัยเทคโนโลยีราชมงคลธัญบุรี Montakan Thongpan | Assistant Professor Sarun Wongwai, Ph.D. | วิทยานิพนธ์/Thesis |
Assistant Professor Sarun Wongwai, Ph.D.
| Title | Creator | Type and Date Create |
|---|---|---|
| Option Pricing for Jump - Diffusion with Stochastic Volatility and Intensity
มหาวิทยาลัยเทคโนโลยีราชมงคลธัญบุรี Assistant Professor Sarun Wongwai, Ph.D. | Montakan Thongpan | วิทยานิพนธ์/Thesis |
| Small Simple Quasi-injective Modules
มหาวิทยาลัยเทคโนโลยีราชมงคลธัญบุรี Assistant Professor Sarun Wongwai, Ph.D. | Apichart Sa-nguannam | วิทยานิพนธ์/Thesis |