This thesis is devoted to European and Swing option pricing under Pilipovic's mean-reverting models, and the associated jump-diffusion model. Currently there is no available analytical option pricing formula under Pilipovic models, even the general moments of the models are difficult to calculate. The results of the thesis include an explicit European option pricing formula under the one factor Pilipovic's model, and a multinomial tree method, which is developed to price swing options under Pilipovic's model with jumps. Here the multinomial tree method is also applicable for other jump-diffusion models. A Monte Carlo simulation method is implemented for the jump diffusion model. The calibration methods of Pilipovic's models is also discussed in the thesis.
展开▼
