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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)