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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.
Type of Material: Princeton University Senior Theses
Language: en
Appears in Collections:Mathematics, 1934-2023

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