Dissertation > Excellent graduate degree dissertation topics show
The Research of Pricing Problem of Asian Option
Author: LiuRuiRui
Tutor: XuYun
School: Xinjiang University
Course: Probability Theory and Mathematical Statistics
Keywords: Asian options Geometric mean Credit risk Poisson process Part of the average
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 49
Quote: 0
Read: Download Dissertation
Abstract
|
With the rapid development of modern financial industry , there has been a variety of new derivative products and options as an important member of the financial derivatives is both an effective hedging instruments , is a wonderful speculative method , which makes the option price much investors and speculators concern . option pricing is very wide , but the general pricing models assume that the option is no credit risk for exchange traded options , this assumption is reasonable ; default assumptions in the OTC market ( OTC market ) does not hold. divided due to the Asian option in the exotic options traded in the over-the-counter , so most of the Asian options are credit risk This article focuses on the pricing of Asian options . four chapters: Chapter introduction , the introduction thesis writing background , the definition of the Asian option and paid the second chapter discusses the average payment Asian option pricing , assuming an average price depends only on part-time in the life of the option , application of risk -neutral valuation principle , given the continuous part of the geometric average pay Asian option pricing formula discussed in the structural model of credit risk pricing of Asian options , taking into account the underlying assets and enterprise value . sex , corporate debt are given credit risk Asian option pricing formula for the functions and stochastic processes both cases , and discuss the relationship between bullish and bearish parity . Chapter discussed in the reduced model credit risk sub- option Valuation intensity as a function of lambda ( t ) the non- homogeneous Poisson process to describe the process of default , given credit risk Asian option pricing formula .
|
Related Dissertations
- On the Risk Model Involving Two Classes of Claims with Threshold Dividend Strategy,O211.67
- Publishing credit Credit Risk Control Problem,G231-F
- Improve the Small and Medium-sized Enterprises Credit Risk Rating System of Commercial Bank,F832.4
- A Study on Personal Credit Risk Based on IRB in Bank of China,F832.4
- The Research on the Retail Credit Risk Management of Bank of Communication,F832.3
- Study on Management of Retail Credit Risk in Rural Credit Cooperative,F832.4
- Reseaching on Using of Credit Derivatives of Our Country,F224
- The Credit Risk Management of Rural Micro-finance,F832.4
- Poisson-Charlier Polynomials and Applications in Probability,O211
- Third party logistics warehouse receipts pledge to carry out research activities,F832.4;F224
- Positions in commercial banking business credit insurance against risk prevention research,F832.2
- Commercial Bank Risk Evaluation System of SMEs,F832.4;F224
- Rural Commercial Bank Credit Risk Assessment System Design and Implementation,F224;F832.3
- Based on machine learning certain research credit risk assessment techniques,TP181
- Bank of China, Liaoning Branch after loan Credit Risk Evaluation,F832.4
- Default correlation based on the degree of concentration risk control method,F830.5
- City Commercial Banks' Credit Risk Management,F832.4
- Credit risk management techniques and profit forecasting model,F224
- Research on the Credit Risk Management Evaluation System Based on the Warning Theory,F224
- Study on the Stock and Risk Management of Supply Chain Based on Trade Credit,F253.4
- Study on Credit Risk Management in Consumer Credit Based on Network Organization,F224.32
CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net Mobile
|