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11 
Price discovery in the property forward and spot marketsJin, Zengxiang., 金增祥. January 2007 (has links)
published_or_final_version / abstract / Real Estate and Construction / Doctoral / Doctor of Philosophy

12 
Two essays on the exchangelisted volatility derivativesHuang, Yuqin, 黃瑜琴 January 2009 (has links)
published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

13 
Option pricing theory.January 1993 (has links)
by Kakit Chan. / Thesis (M.Phil.)Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves 7173). / Chapter I.  Introduction to Stochastic Calculus  p.1 / Stochastic Processes  p.2 / Stochastic Integration  p.6 / Quadratic Variation Processes and Mutual Variation Process  p.11 / The Ito Formula  p.13 / Girsanov's Theorem  p.16 / Stochastic Differential Equations  p.18 / Chapter II.  Pricing American Equity Options  p.21 / A Representation Formula for European Put Option  p.22 / The Free Boundary Formulation of American Put Option  p.24 / A Representation Formula for American Put Option  p.27 / An Alternative Representation Formula for American Put Option  p.35 / The Optimal Exercise Boundary  p.37 / Numerical Valuations of the Representation Formulae  p.39 / Chapter III.  The Effects of Margin Requirements on Option Prices  p.42 / Pricing European Options  p.44 / Pricing American Options  p.46 / Chapter IV.  General Pricing Theory  p.49 / Transformations of Price Processes  p.50 / No Arbitrage Condition and Completeness of Market  p.52 / More on Market Completeness  p.58 / Term Structure of Interest Rate and Interest Rate Options  p.61 / Pricing Equity Options  p.67 / Bibliography  p.71

14 
Trading in options: an indepth analysis.January 1999 (has links)
by Fu YiuHang. / Thesis (M.B.A.)Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 6667). / ABSTRACT  p.ii / TABLE OF CONTENTS  p.ii / LIST OF TABLES  p.vi / LIST OF EXHIBITS  p.vii / PREFACE  p.viii / ACKNOWLEDGMENTS  p.x / Chapter / Chapter I.  INTRODUCTION  p.1 / What is an Option?  p.1 / Options Market  p.2 / Uses of Options  p.2 / Value of Options  p.3 / Index Options  p.4 / Hang Seng Index Options  p.4 / Chapter II.  BASIC PROPERTIES OF OPTIONS  p.5 / Assumptions  p.5 / Notation  p.5 / Option Prices at Expiration  p.6 / Call Option Prices at Expiration  p.6 / Put Option Prices at Expiration  p.6 / Upper Bounds for Option Prices  p.6 / Upper Bounds for Call Option Prices  p.6 / Upper Bounds for Put Option Prices  p.6 / Lower Bounds for European Option Prices  p.7 / Lower Bounds for European Call Option Prices  p.7 / Lower Bounds for European Put Option Prices  p.8 / PutCall Parity  p.8 / Chapter III.  FACTORS AFFECTING OPTION PRICES  p.10 / Price of Underlying Instrument  p.10 / Exercise Price of the Option  p.10 / Volatility of the Price of Underlying Instrument  p.11 / Time to Expiration  p.11 / Riskfree Rate  p.11 / Dividends  p.12 / Chapter IV.  OPTION PRICING MODEL  p.13 / Assumptions  p.13 / The Price of Underlying Instrument Follows a Lognormal Distribution  p.13 / The Variance of the Rate of Return of Underlying Instrument is a Constant  p.17 / The Riskfree Rate is a Constant  p.19 / No Dividends are Paid  p.20 / There are No Transaction Costs and Taxes  p.20 / The BlackScholes Option Pricing Model  p.21 / Notation  p.21 / The Formulas  p.21 / The Variables  p.22 / Properties of the BlackScholes Formulas  p.22 / Implied Volatility  p.23 / Bias of the BlackScholes Option Pricing Model  p.26 / Other Option Pricing Models。………………  p.27 / Chapter V.  SENSITIVITIES OF OPTION PRICE TO ITS FACTORS  p.29 / Delta  p.29 / Vega  p.30 / Theta  p.31 / Rho  p.32 / Gamma  p.33 / Managing the Change in the Value of Option  p.34 / Sensitivities of Portfolio Value to the Factors  p.34 / Chapter VI.  TRADING STRATEGIES OF OPTIONS  p.35 / Methodology  p.35 / Limitations  p.36 / Basic Strategies  p.37 / Long Call  p.37 / Short Call  p.39 / Long Put  p.40 / Short Put  p.42 / Spread Strategies  p.43 / Money Spread  p.43 / Ratio Spread  p.46 / Box Spread  p.46 / Butterfly Spread  p.46 / Condor  p.49 / Calendar Spread  p.49 / Diagonal Spread  p.52 / Combination Strategies  p.52 / Straddle  p.52 / Strap  p.54 / Strip  p.54 / Strangle  p.54 / Selecting Trading Strategies Intelligently  p.56 / Chapter VII.  CONCLUSIONS  p.57 / APPENDICES  p.60 / BIBLIOGRAPHY  p.66

15 
Quanto options under double exponential jump diffusion.January 2007 (has links)
Lau, Ka Yung. / Thesis (M.Phil.)Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 7879). / Abstracts in English and Chinese. / Chapter 1  Introduction  p.1 / Chapter 2  Background  p.5 / Chapter 2.1  Jump Diffusion Models  p.6 / Chapter 2.2  Double Exponential Jump Diffusion Model  p.8 / Chapter 3  Option Pricing with DEJD  p.10 / Chapter 3.1  Laplace Transform  p.10 / Chapter 3.2  European Option Pricing  p.13 / Chapter 3.3  Barrier Option Pricing  p.14 / Chapter 3.4  Lookback Options  p.16 / Chapter 3.5  Turbo Warrant  p.17 / Chapter 3.6  Numerical Examples  p.26 / Chapter 4  Quanto Options under DEJD  p.30 / Chapter 4.1  Domestic Riskneutral Dynamics  p.31 / Chapter 4.2  The Exponential Copula  p.33 / Chapter 4.3  The moment generating function  p.36 / Chapter 4.4  European Quanto Options  p.38 / Chapter 4.4.1  Floating Exchange Rate Foreign Equity Call  p.38 / Chapter 4.4.2  Fixed Exchange Rate Foreign Equity Call  p.40 / Chapter 4.4.3  Domestic Foreign Equity Call  p.42 / Chapter 4.4.4  Joint Quanto Call  p.43 / Chapter 4.5  Numerical Examples  p.45 / Chapter 5  PathDependent Quanto Options  p.48 / Chapter 5.1  The Domestic Equivalent Asset  p.48 / Chapter 5.1.1  Mathematical Results on the First Passage Time of the Mixture Exponential Jump Diffusion Model  p.50 / Chapter 5.2  Quanto Lookback Option  p.54 / Chapter 5.3  Quanto Barrier Option  p.57 / Chapter 5.4  Numerical results  p.61 / Chapter 6  Conclusion  p.64 / Chapter A  Numerical Laplace Inversion for Turbo Warrants  p.66 / Chapter B  The Relation Among Barrier Options  p.69 / Chapter C  Proof of Lemma 51  p.71 / Chapter D  Proof of Theorem 5.4 and 5.5  p.74 / Bibliography  p.78

16 
BlackScholes neutral repricing and executive incentive realignment.January 2004 (has links)
Ma Kai. / Thesis (M.Phil.)Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 5860). / Abstracts in English and Chinese. / Chapter Chapter 1  Introduction  p.1 / Chapter Chapter 2  Executive Options Repricing  p.5 / Chapter 2.1  Plan Restrictions  p.5 / Chapter 2.2  Corporate Governance Issues  p.7 / Chapter 2.3  Securities Law Issues  p.9 / Chapter 2.4  Accounting Issues  p.10 / Chapter Chapter 3  Literature Review  p.15 / Chapter 3.1  Options Repricing  p.15 / Chapter 3.2  The Valuation of Executive Stock Options  p.18 / Chapter 3.3  Extant Executive Stock Options Valuation Models  p.19 / Chapter Chapter 4  Methodology  p.23 / Chapter Chapter 5  Numerical Results  p.26 / Chapter 5.1  Parameters Specification ´ؤ Base Case  p.26 / Chapter 5.2  Value Line  p.27 / Chapter 5.3  Incentive Effect  p.28 / Chapter 5.4  BlackScholes Neutral Repricing  p.30 / Chapter Chapter 6  Parameters Sensitivity  p.35 / Chapter 6.1  Compensation Package Composition  p.35 / Chapter 6.2  Outside Wealth  p.38 / Chapter 6.3  Beta  p.41 / Chapter 6.4  Total Volatility of the Company Stock Price  p.44 / Chapter 6.5  The Coefficient of the Constant Relative Risk Aversion of the Executive  p.48 / Chapter Chapter 7  Conclusion  p.51 / Appendix: Matlab Programs  p.54 / References  p.58 / Figures and Tables  p.61

17 
Numerical methods for pricing Bermudan barrier optionsZhao, Jing Ya January 2012 (has links)
University of Macau / Faculty of Science and Technology / Department of Mathematics

18 
Essays on pricing and portfolio choice in incomplete marketsZhou, Ti, 1981 05 October 2012 (has links)
This dissertation is a contribution to the pricing and portfolio choice theory in incomplete markets. It consists of three selfcontained but interlinked essays. In the first essay, we present a utilitybased methodology for the valuation and the risk management of mortgagebacked securities subject to totally unpredictable prepayment risk. Incompleteness stems from its embedded prepayment option which affects the security's cash flow pattern. The prepayment time is constructed via deterministic or stochastic hazard rate. The relevant indifference price consists of a linear term, corresponding to the remaining outstanding balance, and a nonlinear one that incorporates the investor's risk aversion and the interest payments generated by the mortgage contract. The indifference valuation approach is also extended to the case of homogeneous mortgage pools. In the second essay, using forward optimality criteria, we analyze a portfolio choice problem when the local risk tolerance is timedependent and asymptotically linear in wealth. This class corresponds to a dynamic extension of the traditional (static) risk tolerances associated with the power, logarithmic and exponential utilities. We provide explicit solutions for the optimal investment strategies and wealth processes in an incomplete nonMarkovian market with asset prices modelled as Ito processes. The methodology allows for measuring the investment performance in terms of a benchmark and alternative market views. In the last essay, we extend the forward investment performance approach to study the optimal portfolio choice problem in an incomplete market driven by jump processes. The asset price is modelled by a onedimensional LévyItô process. We prove the existence of a forward performance process by restricting the local risk tolerance functions to be timeindependent and linear in wealth. This yields only three types of performance measurement criteria, namely, exponential, power and logarithmic. The optimal portfolios are constructed via stochastic feedback controls under these criteria. / text

19 
Option pricing: a survey劉伯文, Lau, Pakman. January 1994 (has links)
published_or_final_version / Economics / Master / Master of Social Sciences

20 
Money and the dispersion of relative prices in the drug and apparel industriesArroyo, Jorge M. 12 1900 (has links)
No description available.

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