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tfg_picas_gil_pau.pdf (497.86 KB)

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Bachelor thesis

Publication date

2023-06-13

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cc-by-nc-nd (c) Pau Picas i Gil, 2023
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/203145

Els models de Merton i Kou

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Abstract

[en] We will study some mathematical models which are useful to model financial markets. The most basic one, in the continuous case, is known as the Black-Scholes model. However, in order to model abrupt changes in the market, after introducing the Poisson process, we will study two models which include discontinuity, known as the Merton model and the Kou model. Finally, we will compare them.

Description

Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2023, Director: Josep Vives i Santa Eulàlia

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Processos estocàstics, Processos puntuals, Processos de Markov, Opcions (Finances), Treballs de fi de grau, Models matemàtics

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Stochastic processes, Point processes, Markov processes, Options (Finance), Bachelor's theses, Mathematical models

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Treballs Finals de Grau (TFG) - Matemàtiques

Citation

PICAS I GIL, Pau. Els models de Merton i Kou. [consulted: 18 of August of 2026]. Available at: https://hdl.handle.net/2445/203145

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