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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

Suboptimality of Asian Executive Options

Chen, Jit Seng January 2011 (has links)
This thesis applies the concept of cost e ciency to the design of executive compensation. In a classical Black-Scholes framework, we are able to express the cost e cient counterpart of the Asian Executive Option explicitly, and design a payo that has the same distribution as the Asian Executive Indexed Option but comes at a cheaper price. The cost e cient counterpart of the latter option is not analytically tractable, but we are able to simulate its price. Furthermore, we extend the study of these two types of options in the presence of stochastic interest rates modeled by a Vasicek process. We are able to derive new closedform pricing formulas for these options. A framework for crafting the state price process is introduced. From here, an explicit expression for the state process is given and its distribution is derived. Using the pricing formulas and the state price process, we are then able to simulate the prices of the corresponding cost e cient counterparts in a stochastic interest rate environment. We conclude with some avenues for future research.
2

Suboptimality of Asian Executive Options

Chen, Jit Seng January 2011 (has links)
This thesis applies the concept of cost e ciency to the design of executive compensation. In a classical Black-Scholes framework, we are able to express the cost e cient counterpart of the Asian Executive Option explicitly, and design a payo that has the same distribution as the Asian Executive Indexed Option but comes at a cheaper price. The cost e cient counterpart of the latter option is not analytically tractable, but we are able to simulate its price. Furthermore, we extend the study of these two types of options in the presence of stochastic interest rates modeled by a Vasicek process. We are able to derive new closedform pricing formulas for these options. A framework for crafting the state price process is introduced. From here, an explicit expression for the state process is given and its distribution is derived. Using the pricing formulas and the state price process, we are then able to simulate the prices of the corresponding cost e cient counterparts in a stochastic interest rate environment. We conclude with some avenues for future research.

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