Option pricing in the framework of Markov Modulated Lévy processes

Units : Actuarial sciences | ULB454

Description :

In this project, we price options when the risky assets involved are general Markov Modulated Lévy processes, modulated by a
Markov Chain with an arbitrary number of states.

List of persons in charge :

  • DEELSTRA Griselda

List of lessors :

  • F.R.S.-FNRS et Fonds associés (hors FRIA)