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Pricing of derivatives with memory

Dom, Maxime
(2021)

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Details

Supervisors
Hainaut, Donatien
Faculty
Faculté des sciences
Degree label
Master [120] en sciences actuarielles, à finalité spécialisée
Abstract
The purpose of this thesis is to investigate the pricing of options when the underlying asset price has a memory of its recent evolution. In this framework, the asset price is the exponential of a process with memory driven by a Lévy process. A particular case is the the Ornstein-Uhlenbeck process. We will price forward and options in this framework (with the Fourier transform approach) and apply our findings to the market of commodities (e.g. oil prices).

Citations

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Dom, M. (2021). Pricing of derivatives with memory. https://dial-mem.test.bib.ucl.ac.be/handle/2078.2/24810