Three essays on exotic option pricing, multivariate Lévy processes and linear aggregation of panel models
ULB Institutional Repository from ULB -- Universite Libre de Bruxelles
This thesis is composed of three chapters that form two parts. The first part is composed of two chapters and studies problems related to the exotic option market. In the first chapter we are interested in a numerical problem. More precisely we derive closed-form approximations for the price of some exotic options in the Black and Scholes framework. The second chapter discusses the construction of multivariate Lévy processes with and without stochastic volatility. The second part is composed of one chapter. It deals with a completely different issue. There we will study the problem of individual and temporal aggregation in panel data models.
Keywords: Lévy processes; Price fixing -- Econometric models; Lévy, Processus de; Prix -- Fixation -- Modèles économétriques; panel data (search for similar items in EconPapers)
Pages: 1 v. (iii, 102 p.)
Note: Degree: Doctorat en sciences économiques, Orientation économie
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/2103 ... 462-e4852265c5a7.txt Œuvre complète ou partie de l'œuvre (application/pdf)
https://dipot.ulb.ac.be/dspace/bitstream/2013/2103 ... c0b-9a3e886af872.txt tbldesmat (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ulb:ulbeco:2013/210357
Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/210357
Access Statistics for this paper
More papers in ULB Institutional Repository from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().