Jump Processes and its Applications
| dc.rights.license | CC-BY-NC-ND | |
| dc.contributor.advisor | Dajani, K. | |
| dc.contributor.author | Hakvoort, Simon | |
| dc.date.accessioned | 2025-04-03T09:01:26Z | |
| dc.date.available | 2025-04-03T09:01:26Z | |
| dc.date.issued | 2025 | |
| dc.identifier.uri | https://studenttheses.uu.nl/handle/20.500.12932/48712 | |
| dc.description.sponsorship | Utrecht University | |
| dc.language.iso | EN | |
| dc.subject | In this thesis we will look at jump processes and how they can be used in financial mathematics. Wewill discuss some important theory behind jump processes and then look at the double exponential jumpdiffusion process. We will derive a pricing formula for European options for this process and discuss someof the advantages of using this model instead of the Black-Scholes-Merton model. We will also comparethese two models with the Bayesian information criterion. | |
| dc.title | Jump Processes and its Applications | |
| dc.type.content | Bachelor Thesis | |
| dc.rights.accessrights | Open Access | |
| dc.subject.courseuu | Wiskunde & Toepassingen | |
| dc.thesis.id | 3204 |
