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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

The Pricing of Power Options under the Generalized Black-Scholes Model

Wu, Yi-Yun 08 August 2011 (has links)
A closed-form pricing formula of European options is obtained by Fischer Black and Myron Scholes (1973). In such a European option, the payoff depends `linearly' on the underlying asset price at the expiration time. An power option has a payoff which depends nonlinearly on the underlying asset price at the expiration time by raising a certain exponent. In the Black-Scholes model, a closed-form formula of a power option is obtained by Esser (2004). This paper extends Esser's result to the generalized Black- Scholes model. That is, we derive a closed-form pricing formula of a power option in the case when both the interest rate and the stock volatility are time-dependent.
2

The technique of measure and numeraire changes in option

Shi, Chung-Ru 10 July 2012 (has links)
A num¡¦eraire is the unit of account in which other assets are denominated. One usually takes the num¡¦eraire to be the currency of a country. In some applications one must change the num¡¦eraire due to the finance considerations. And sometimes it is convenient to change the num¡¦eraire because of modeling considerations. A model can be complicated or simple, depending on the choice of thenum¡¦eraire for the method. When change the num¡¦eraire, denominating the asset in some other unit of account, it is no longer a martingale under ˜P . When we change the num¡¦eraire, we need to also change the risk-neutral measure in order to maintain risk neutrality. The details and some applications of this idea developed in this thesis.

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