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Option Pricing and Logarithmic Euler-Maruyama Convergence of Stochastic Delay Equations driven by Levy processDownload
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...
This thesis investigates the hedging of equity-linked life insurance contracts with default time. In such a case the market is no longer complete and as such we consider imperfect hedging technique called Quantile Hedging. This hedging technique maximizes the probability of a successful hedge...