Now showing items 1-2 of 2

    • On the calibration of Lévy option pricing models 

      Visagie, Izak Jacobus Henning (2015)
      In this thesis we consider the calibration of models based on Lévy processes to option prices observed in some market. This means that we choose the parameters of the option pricing models such that the prices calculated ...
    • Pricing barrier and lookback options using finite difference numerical methods 

      Umeorah, Nneka Ozioma (North-West University (South Africa) , Potchefstroom Campus, 2017)
      This research work focuses on the estimation of barrier and lookback option prices using finite difference numerical methods. Here, we aim at approximating the fair prices of the zero rebate up-and-out and down-and-out ...