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http://arks.princeton.edu/ark:/88435/dsp01bk128f166| Title: | Applications of Ito Calculus to Financial Mathematics |
| Authors: | Jiang, Cataleya |
| Advisors: | Prywes, Eden Sly, Allan |
| Department: | Mathematics |
| Class Year: | 2023 |
| Abstract: | The aim of this thesis is to solve European option pricing and hedging in a risk-neutral environment. Under the assumption of a complete market, we modeled our European option using a Brownian process and obtained a risk-neutral hedging strategy. This thesis also discusses the implications of an incomplete market and the Levy processes that is needed to model under such assumptions. |
| URI: | http://arks.princeton.edu/ark:/88435/dsp01bk128f166 |
| Type of Material: | Princeton University Senior Theses |
| Language: | en |
| Appears in Collections: | Mathematics, 1934-2024 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| JIANG-CATALEYA-THESIS.pdf | 405.4 kB | Adobe PDF | Request a copy |
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