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Research on Some European Option Pricing Problems

Author: WuYongHong
Tutor: ZuoMing
School: Huazhong University of Science and Technology
Course: Probability Theory and Mathematical Statistics
Keywords: Option Pricing Stochastic dividends Transaction fees Stochastic interest rates Exchange
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 338
Quote: 0
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Abstract


In this paper, we consider the three European option pricing problem : a European option pricing transaction costs and stochastic dividends , stock returns obey the Ornstein-Uhlenbeck process option pricing and the pricing of foreign exchange options under stochastic interest rates . Firstly, the no-arbitrage framework considered discrete stochastic dividends stocks and stock trading charge the European trading stock price proportional to the time-consuming option pricing given explicit expression it is a simple extension of the underlying asset is a forward call option pricing formula ( zero transaction fees and dividends for the the European forward contracts underlying asset option pricing formula ) the results show that : the option price increases with the increase in trading fee is reduced with increasing dividends . article clarifies stocks and bonds is based on the company the option on the assets , the use of option theory to the stock and bond pricing , analysis of the relationship between the interests of shareholders and creditors and discuss the impact of the company's securities to the value of the options . Secondly , to discuss the stock price follows a geometric Brownian motion , stock returns obey the Ornstein- Uhlenbeck process European option pricing problem , the use of no-arbitrage principle of partial differential equations satisfied by the option price , and the use of the inverse Fourier transform , the closed-form solution for a European call option pricing formula was obtained . Finally, consider the three types of risk resources : analytical expression for its evaluation of the relationship between their term structure risk , foreign term structure risk and exchange rate risk in the case of stochastic interest rates using the martingale approach to foreign exchange European option pricing problem , get a European call option and put option prices and considering options hedging .

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