Pricing Digital Options Using Levy Driven Model

  Order Description     Research Question: • What role does the Levy process play in explaining the option pricing market? • How is Digital Option price using Levy Processes determined? • How accurate are Levy Processes compared to the Black-Scholes when pricing Options?   The data that would be required for this dissertation is European digital call option on the FTSE 100 index for a period of 6 years. This data is available on Data Stream. (I am not in the university yet and do not have access to DataStream). However, I am certain that there is numerous data that is available on the FTSE 100 index option. Relevant Articles: Wim Schoutens. Levy Processes in Finance. Wiley, 2003. 10, 12 (This is a textbook that I have already placed an order for that will bw available to me by the end of the month). This textbook will be next to indispensable for the completion of this project.