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1Euler Maruyama Scheme
1General product formula
1Jumps
1option pricing

Author / Creator / Contributor

1Agrawal, Nishant

Year

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1Graduate and Postdoctoral Studies (GPS), Faculty of
1Graduate and Postdoctoral Studies (GPS), Faculty of/Theses and Dissertations

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1English

Item type

1Thesis

Departments

1Department of Mathematical and Statistical Sciences

Supervisors

1Yaozhong Hu (Mathematical and Statistical Sciences)

Option Pricing and Logarithmic Euler-Maruyama Convergence of Stochastic Delay Equations driven by Levy process
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Fall 2021

Agrawal, Nishant

In this thesis, we study the product formula for finitely many multiple Itˆo-Wiener integrals of Levy process, option pricing formula where the stock price is modelled by stochastic delay differential equation (SDDE) driven by Levy process and logarithmic Euler-Maruyama scheme for the SDDE. In...

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Option Pricing and Logarithmic Euler-Maruyama Convergence of Stochastic Delay Equations driven by Levy process