Dissertation > Excellent graduate degree dissertation topics show

Lower-bound Formulas for the Price of Asian Options in the Market with Jumps

Author: HanXiangZuo
Tutor: HeChunXiong
School: South China University of Technology
Course: Probability Theory and Mathematical Statistics
Keywords: Asian options Brownian motion Jump - diffusion process Lognormal distribution Compound Poisson process
CLC: F830.9
Type: Master's thesis
Year: 2010
Downloads: 30
Quote: 0
Read: Download Dissertation

Abstract


In recent decades, the rapid development of financial derivatives markets , especially in the early nineties , with the increased complexity of the market demand , financial institutions launched many transactions and the transaction price is more flexible and convenient options, called exotic options . Asian option is one of them , it was first proposed by the American Bankers trust Company (Bankers Trust) in Tokyo, Japan launched it , there are two types of Asian option strike price fixed and floating strike price Asian options . their income dependent on the subject the average price of life of the assets , usually considered the arithmetic mean , but it's hard to get them closed form pricing formula. article reference Kuan-Wen Chen and Yuh-Dauh Lyuu in complete markets lower bound obtained by calculating the price fixed strike price Asia style floating strike price options and Asian options pricing formula of thought, gives a jump diffusion market of two Asian options pricing formula in Incomplete Markets Kuan-Wen Chen and Yuh-Dauh Lyuu Asian option is given pricing methods assume that the underlying asset price follows a geometric Brownian motion , the Asian -style call option prices expressed in the form of inequality , while Asian option price is the greatest lower bound of this inequality , the problem is transformed into how to find the greatest lower bound . in this process , according to the Asian option price expression characteristics , take a collection set , this collection can subtly help us obtain the lower bound of the lower bound is the Asian -style call option pricing formula . Finally, numerical experiments show that this test formula either from the efficiency or accuracy of the above have a relatively good result. article also Kuan-Wen Chen and Yuh-Dauh Lyuu Asian Option pricing given method is extended to the market with a jump in the price of the underlying asset on the assumption number of Brownian motion with drift Possion complex process and the use of the idea of ??seeking lower bound of the price , the option price will be the price lower bound problem into a problem of demand in this process, to be introduced in the complete market established under the theorem, lemma in markets with jumps and changes , and then use the relevant market with jumps theorem conclusions launch Asian -style call option price lower bound . Finally, numerical experiments illustrate this test is consistent with the actual lower bound , it makes sense .

Related Dissertations

  1. Blowup noise suppression and the impact on the dynamic behavior,O211.63
  2. Based on the risk of default interest rate swap sides Pricing Model,F224
  3. Structured Investment Products Pricing and empirical research,F830.91
  4. Actuarial Approach reset option pricing,F224;F840
  5. The Pricing of Derivative Ecurities under Fractal Market,F830.91
  6. The Dividend Asian Option Pricing in Fractional Brownian Motion,F830.9
  7. The Numerical Methods of Asian Option Pricing,F224;F832.5
  8. On the Optimal Investment Proportion on the Risk Model with Correlated Brownian Motion,F840;F830.59
  9. An Adjusted Binomial Model for Pricing Asian Options in Diffusion Models,F830.9
  10. The effectiveness of A-share market empirical research,F224
  11. Pricing of the Acturial Approach on Power-Option Based on the Vasicek Stochastic Interest Rate,F840
  12. Stochastic Riccati Differential Equation Driven by a Brownian Motion,O211.63
  13. Chaos Theory Applied to Option Pricing,O415.5
  14. Fractal Properties of Brownian Motion,O552.1
  15. The Research of Several Types of Ruin Probability in Risk Modal and Related Issues,F840
  16. Ruin Probability for a Correlated Risk Process Perturbed by Diffusion with Positive and Negative Risk Sums,F840
  17. The bankruptcy of the two types of risk model,F840
  18. Stochastic interest obey fractional Brownian motion option pricing,F830.9
  19. Pricing Options on Basket-futures Driven by Jump-diffusion Processes,F830.9
  20. Research on Realistic Digital Lunar Surface Modeling Based on Lunar Characters,TP242

CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
© 2012 www.DissertationTopic.Net  Mobile