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http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/8335| Title: | Lévy Processes in Finance |
| Authors: | Sengupta, Indranil SUNDAR, SIDDHESH Dept. of Mathematics 20181037 |
| Keywords: | Stochastic processes Option pricing theory |
| Issue Date: | Dec-2023 |
| Citation: | 52 |
| Abstract: | This project aims to survey literature on lévy processes. We look at the stochastic calculus and the properties of jump processes and then look at applications of lévy processes in finance. These include markets driven by lévy processes and pricing of stock options under markets driven by lévy processes. |
| URI: | http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/8335 |
| Appears in Collections: | MS THESES |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 20181037_Siddhesh_Sundar_MS_Thesis.pdf | MS Thesis | 476.05 kB | Adobe PDF | View/Open Request a copy |
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