Dissertation > Excellent graduate degree dissertation topics show

The Pricing Research of Several Types of Barrier Options

Author: XuWenGuang
Tutor: WuTongSuo
School: Shanghai Jiaotong University
Course: Mathematics
Keywords: Risk-neutral pricing formula Brownian motion with drift Single barrier option Double barriers option
CLC: F830.9
Type: Master's thesis
Year: 2011
Downloads: 49
Quote: 0
Read: Download Dissertation

Abstract


This paper focuses on the study of the barrier option price.The pricing formulaes of different types of barrier options are given when the underlying asset price satisfies the exponential O-U process model.The mainly innovative work is such:Firstly,we get partial differential equation and the pricing formula of the European power-type knock down out put option.Secondly,the pricing formula and the derivation method of different type of double obstacles option are given.In the second chapter,the joint distribution of the final value and the minimum value of Brownian motion with drift in the limited time [0,T] is given by reflection principle of Brownian motion , Girsanov theorem and appropriate transformation of measure.And then we get the pricing formula of European power-type put option.In the third chapter,we discuss the exponential O-U process model based on the above theory. And We get the pricing formula of the European power-type knock down out put option. In the fourth chapter, we discuss the pricing method of double barieres options. We get the pricing formula of double obstacles options which becomes effective when it touches the above obstacle or the following obstacle through the risk-neutral pricing formula and transition probability desity. And then we get the pricing method of the other types of double barieres options by the appropriate transformations of set.

Related Dissertations

  1. A class of elliptic equations boundary value problems probabilistic algorithms,O175.2
  2. The Chooser Options Pricing Based on Transaction Cost and Dividend,F830.9
  3. Empirical Research on Financial Motives of the Usage of Derivatives,F830.91
  4. An Empirical Study of Host Country’s Corruption Impacts on FDI,F830.59
  5. Comparative Analysis of Technological Spillover Effects of Different Industries’ FDI Based on Endogenous Growth,F830.59
  6. The Semiparametric Fitting for the Implied Volatility Surface,F830.9
  7. Extreme value statistics in the value-at-risk calculations,F830.9
  8. The Dividend Asian Option Pricing in Fractional Brownian Motion,F830.9
  9. A Note on Portfolio Efficient Frontier Based on GEV under Various Risk Measures,F830.59
  10. Risk Measurement and Optimal Steategy Selection of Portfolio Based on SV Model and COPULA,F830.59
  11. Risk Preference-Based Option Pricing in a Fractional Brownian Motion Environment,F830.9
  12. Research and Application of Option Pricing under Stochastic Interest Rate,F830.91
  13. The Role and Impact of Accounting Standards on the Practices of Islamic Banking System in Sudan,F830.42
  14. Research on the Assessment of Stock Value and the Fair Value Based on the Perspective of Behavioral Finance,F830.91
  15. The Study of Accounting Internal Control in the Agricultural Bank of China Heilongjiang Branch,F830.42
  16. A Comparison among Measuring Methods of Financial Market Risks and an Envision of New Frame,F830.9
  17. The Pricing of Derivative Ecurities under Fractal Market,F830.91
  18. Research in Traders’ Personal Learning Mechanism in ASM,F830.91
  19. Simulation and Study on Trading Strategies in Stock Market,F830.91
  20. Study on Financial Returns and Volatility Based on Symbolic Time Series Analysis,F830.9
  21. Virtualization Techonlogy and Its Application in Finacial Institutions,F830.3
  22. The Application Study of Real Option in the Venture Investment Decision,F830.59

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