Investigating Levy's model in financial series prediction(case of vanilla option)

Seyed Jalal Tabatabaei

Volume 4, Issue 2 , December 2024, , Pages 65-82

https://doi.org/10.22054/jmmf.2024.81540.1144

Abstract
  In recent years, there has been growing interest in the application of stochastic processes to model financial markets, particularly in the pricing and prediction of derivative instruments such as options. One of the more advanced models that has emerged for capturing the dynamics of financial time series ...  Read More

Finite difference method for basket option pricing under Merton model

Parisa Karami; Ali Safdari

Volume 1, Issue 1 , March 2021, , Pages 49-52

https://doi.org/10.22054/jmmf.2021.56261.1018

Abstract
  In financial markets , dynamics of underlying assets are often specified via stochasticdifferential equations of jump - diffusion type . In this paper , we suppose that two financialassets evolved by correlated Brownian motion . The value of a contingent claim written on twounderlying assets under jump ...  Read More