Modeling of American-style Asian option under jump-diffusion process

QR Code

Modeling of American-style Asian option under jump-diffusion process

This thesis addresses evaluation of American-style Asian options within a jumpdiffusion framework, an extension of the traditional Black-Scholes model to capture real-world financial market behaviors better. The primary objective of this research is to develop an evaluation framework for pricing...

Full description

Bibliographic Details
Main Author:	Laham, Mohamed Faris
Format:	Thesis
Language:	English
Published:	2024
Subjects:	Finance - Mathematical models Stochastic processes Monte Carlo method
Online Access:	http://psasir.upm.edu.my/id/eprint/118397/ http://psasir.upm.edu.my/id/eprint/118397/1/118397.pdf

Similar Items

Penalty method for pricing American-style Asian option with jumps diffusion process
by: Ibrahim, S. N. I., et al.
Published: (2023)

Bayesian Inference for Stochastic Epidemic Models using Markov chain Monte Carlo Methods
by: Demiris, Nikolaos
Published: (2004)

Dynamical fluctuations of classical and quantum square dimer models
by: Oakes, Tom
Published: (2019)

Stochastic epidemics conditioned on their final outcome
by: White, Simon Richard
Published: (2010)

On the epidemic of financial crises
by: Demiris, Nikolaos, et al.
Published: (2014)

Uncertainty quantification for flow and transport in porous media
by: Crevillen Garcia, David
Published: (2016)

Characterization of dumping soil and settlement prediction using Monte Carlo approach
by: Mohd Pauzi, Nur Irfah
Published: (2013)

Modelling and Bayesian analysis of the Abakaliki smallpox data
by: Stockdale, Jessica E., et al.
Published: (2017)

Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
by: Laham, Mohamed Faris, et al.
Published: (2020)

A rare event approach to high-dimensional approximate Bayesian computation
by: Prangle, Dennis, et al.
Published: (2017)

A tutorial introduction to Bayesian inference for stochastic epidemic models using Approximate Bayesian Computation
by: Kypraios, Theodore, et al.
Published: (2017)

Three dimensional CFD simulations of junction temperature of electronic components using nano-silver / Mazlan Mohamed and Rahim Atan
by: Mohamed, Mazlan, et al.
Published: (2011)

Peptide refinement using a stochastic search
by: Lewis, Nicole H., et al.
Published: (2018)

Stochastic design charts for bearing capacity of strip footings
by: Shahin, Mohamed, et al.
Published: (2011)

Bayesian model selection for the glacial-interglacial cycle
by: Carson, Jake, et al.
Published: (2017)

Simulation of proton diffusion in In-doped CaZrO3
by: Bilic, Ante, et al.
Published: (2008)

Stochastic monotonicity and continuity properties of functions defined on Crump-Mode-Jagers branching processes, with application to vaccination in epidemic modelling
by: Ball, Frank, et al.
Published: (2014)

Modeling of Ground Improvement by Prefabricated Vertical Drains in Highly Variable Soils
by: Shahin, Mohamed, et al.
Published: (2012)

Option pricing under stochastic environment of volatility and market price of risk
by: Phewchean, N, et al.
Published: (2013)

Efficient SMC2 schemes for stochastic kinetic models
by: Golightly, Andrew, et al.
Published: (2017)

Bayesian interpretation of radiocarbon results
by: Christen, José Andrés
Published: (1994)

A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models
by: Harris, Mark, et al.
Published: (2004)

A numerical scheme for pricing american options with transaction costs under a jump diffusion process
by: Lesmana, D., et al.
Published: (2017)

Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
by: Li, S., et al.
Published: (2014)

Transformer health index assessment based on neural- fuzzy method utilising monte carlo simulation
by: Kadim, Emran Jawad
Published: (2016)

Statistical modelling of equations of state for carbon capture, transport, and storage
by: Thomson, Michael James
Published: (2018)

Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
by: Chan, Felix, et al.
Published: (2011)

Uncertainty quantification in palaeoclimate reconstruction
by: Carson, J.
Published: (2015)

A Bayesian level set method for geometric inverse problems
by: Iglesias, Marco, et al.
Published: (2016)

A study of C60 via scanning probe microscopy, Hückel, and Monte Carlo methods
by: Leaf, J.M.
Published: (2017)

A study of optimization problems involving stochastic systems with jumps
by: Liu, Chunmin
Published: (2008)

Pricing formula for power options under jump-diffusion
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2015)

Statistical analysis of proteomic mass spectrometry data
by: Handley, Kelly
Published: (2007)

Model specification in panel data unit root tests with an unknown break
by: Chan, Felix, et al.
Published: (2011)

Analytical formula of European-style power call options in an MFBM with jumps model
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2022)

Synchronization transition in the double dimer model
by: Wilkins, Neil
Published: (2021)

Uncertainty analysis for fiber permeability measurement
by: Dong, Chensong
Published: (2005)

Evaluation of the minimum face clearance of a high speed gas lubricated bearing with Navier slip boundary conditions under random excitations
by: Bailey, N.Y., et al.
Published: (2018)

Statistical modelling of Ca2+ oscillations in the presence of single cell heterogeneity
by: Powell, Jake
Published: (2022)

An Emppirical Study on Asymmetric Jump Diffusion For Option and Annuity Pricing
by: Lau, Kein Joe
Published: (2018)