Pricing Exotic Options under Levy Process with Numerical Methods


Pricing options is an important activity in quantitative finance for financial engineering purpose. Exotic options are class of options with nonstandard features serving market segments: specific hedging need, tax, accounting, legal, regulatory requirements or offer unique payoffs in particular market circumstances. While pricing options under the Wiener process is a well-established research topic, the introduction of Levy process into pricing procedure makes it become more challenging. However, the modification is a realistic reflection to the heavy tail property of returns of financial assets and it is a relevant research topic. In general, a close-form formula for pricing options does not exist, the objective of a potential dissertation thesis on this topic would be a design of a suitable numerical pricing model for a specified type of exotic options and then to verify its applicability for real-life conditions. The results will be submitted for publication in journals like Finance Research Letters, European Journal of Operational Research, SIAM Journal on Financial Mathematics.


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