Dissertation > Excellent graduate degree dissertation topics show

The Research of Two Exotic Options’ Pricing

Author: ZhangDong
Tutor: LuChangYu
School: East China Normal University
Course: Probability Theory and Mathematical Statistics
Keywords: Monte Carlo simulation Wiener Process Weak form Market Efficient Law of Iterated expectations Basket Options Forward Start—Asian Options
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 278
Quote: 2
Read: Download Dissertation

Abstract


The assumption of Black-Scholes model is adopted in this article.Wiener process(Brownian Motion)and Markov property are used to characterize the stochastic motion of the underlying asset price. And the latter is consistent with the Weak Form of Market Efficiency(WFME). Then,Based on the risk neutral pricing theory,we get an pricing formula of jump-diffusion European weighted Arithmetic Average value Basket Options and an approximate closed-form formula of the price of Forward Start Average Price Asian Options at time t where the question we facing is that the arithmetic average sum of Normal random variables has no exact distribution form. In addition,due to the intrinsic advantage of the Monte Carlo simulation method to price the path-dependent derivatives,we test the accuracy of the latter formula we’ve got taking on the Monte Carlo simulation as a bench-mark and find that the formula we have obtained is just a good demonstration of the Forward-Start Average Price Asian Options.

Related Dissertations

  1. Aerial Target Anti-interference Recognition and Tracking System,TN215
  2. Statistical Methods of Two-stage Cluster Sampling on Quantitative Sensitive Questions Survey and Its Application,R195
  3. Coal Base of Northern Shanxi Province Ecological Restoration Technology Research Based on 3S Technology,X171.4
  4. In the standard model based on VaR Equity Fund Risk Assessment Study,F224
  5. Study of Bidding Decision-making in Transformer Project,F426.6
  6. Research on Real Options Models and Applications in China,F832.5
  7. The Application Research to Risk Measurement of Index Futures,F224
  8. Improve SBR conversion rate of,TQ333.1
  9. A Patent Value Model and It’s Numerical Simulation,F224
  10. Comparision of Single and Multiple Sourcing Strategies and Order Allocation Based on Supply Disruption,F224
  11. Research on Pricing Mortgage-backed Securities,F832.4;F224
  12. Chinese fund positions STRATEGIES,F224
  13. VaR in equity-linked financial products revenue and Risk Measurement Applications,F224
  14. Transmission of Polarized Photons in Atmosphere and Interaction between Single Photons and Cavity-quantum Dots,O431.2
  15. Magnetic Nanoparticle-loaded Brushes Induced by External Magnetic Field: A Monte Carlo Simulation,O441.4
  16. Pricing Strategy Research of Lng Based on Monte-Carlo Simulation and Genetic Algorithms,F416.22
  17. Research on Quality Test and Regulation of Structured Financial Products,F224
  18. The Approximate Nonstationary Probability Densities for Responses of Nonlinear Stochastic Systems Subject to Gaussian White Noise Excitations,O422.8
  19. The magnetron sputtering containing helium titanium film and thin film deposition Monte Carlo simulation study,O484.1
  20. Characteristics Study of Thin Film Growth on (001) and (110) Substrates,O484.1
  21. Empirical Research on Commercial Bank Credit Risks Assessment Based on Credit Metrics,F832.33

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile