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Modeling with the Black-Scholes formula and jump diffusions

Posted on:2010-03-21Degree:M.SType:Thesis
University:Tufts UniversityCandidate:Zhang, LingyunFull Text:PDF
GTID:2449390002988489Subject:Mathematics
Abstract/Summary:
This thesis provides a development of an extension of the Black-Scholes formula for option pricing to processes that have Brownian and compensated Poisson parts. Consequently, it allows the stock-price dynamics to include jumps, modeling the effects of large shocks, such as wars and technology revolutions.
Keywords/Search Tags:Black-scholes formula
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