Browsing NHH Brage by Author "Sunde, Sindre"

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On the relevance of jumps for the pricing of S&P 500 options : with particular emphasis on the adjustment for systematic risk in jump-diffusion models

Langedal, Børge; Sunde, Sindre (Master thesis, 2013)

Jump-diffusions are a class of models that is used to model the price dynamics of assets whose value exhibit jumps. The first part of this thesis discusses the implications of such models for the pricing of derivatives. ...