巨災權益賣權(CatEPut option) 是種常見的與風險掛鉤的證券(risk-linked security) ，它經常被用來對沖巨災風險，在這篇文章中，我們在隨機利息率和隨機波動率的條件下對巨災權益實權進行定價。我們使用了高維傅利葉變換的方法來進行定價，并得到了巨災權益賈權價格的顯式表達，數據實驗的結果顯示，我們的定價公式和方法是高效和精確的。此外，我們還發現隨機利息率和隨機波動率對巨災權益賣權的價格有很大影響。 / The catastrophic equity put (CatEPut) options which serve as a kind of risklinked securities are quite popular in hedging catastrophic risk. In this thesis, the CatEPut options are priced with the stochastic interest rate and stochastic volatility (SISV). We use a two-dimensional Fourier transform over the log price and the catastrophic loss to derive the closed-form CatEPut option price. The numerical examples show that our pricing formula and method are efficient and accurate. We also find that the price of the CatEPut options are greatly in uenced by the stochastic volatility and stochastic interest rate. / Detailed summary in vernacular field only. / Li, Yiran. / "September 2012." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 54-55). / Abstracts also in Chinese. / Abstract --- p.i / Abstract in Chinese --- p.ii / Acknowledgements --- p.iii / Contents --- p.v / List of Tables --- p.vii / List of Figures --- p.viii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- The model --- p.5 / Chapter 2.1. --- The model of CatEPut options under risk-neutral measure --- p.5 / Chapter 2.2. --- Change to the forward measure --- p.7 / Chapter 3. --- Pricing CatEPut using “conditioning on the catastrophic lossmethod --- p.10 / Chapter 4. --- Pricing CatEPut using Fourier transform --- p.15 / Chapter 5. --- Numerical experiments --- p.26 / Chapter 5.1 --- The FFT algorithm --- p.26 / Chapter 5.2 --- The impact of the stochastic interest rate and the stochastic volatility --- p.27 / Chapter 5.3 --- The advantage of the Fourier transform method --- p.36 / Chapter 6. --- Conclusions --- p.41 / Chapter A. --- Measure change to risk neutral measure Q --- p.43 / Chapter B. --- Proof of integrability --- p.48 / Bibliography --- p.53

The development and introduction of financial derivatives have great impact on modern finance. Option pricing theory has become a powerful tool to value and to understand these innovations. It is also an indispensable tool to calculate hedge ratios for risk measurement and management. On the one hand, the introduction of new financial derivatives has been blamed for making financial market more volatile and risky as evidenced in the financial markets of the USA and Japan, especially during the expiration of index futures and index options, On the other hand, the applicability of new pricing models to hedging strategies is essential in monitoring and managing option positions. This study tries to give some answers on first: whether the expiration of financial derivatives increases the volatility of the Hong Kong stock market; second: whether we can better hedge by straightly applying more elaborated option valuation models replacing the standard Black-Scholes model, which market participants commonly employed for hedging option positions. Part I of this article addresses the first question while Part II studies the second question. / Yung Hei Ming. / Source: Dissertation Abstracts International, Volume: 62-09, Section: A, page: 3138. / Supervisor: Zhang Hua. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price.

Thesis (PhD)--Macquarie University, Division of Economic and Financial Studies, Dept. of Statistics, 2008. / Bibliography: p. 73-77.

Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2007. / The use of options on various stock markets over the world has introduced a unique opportunity for investors to hedge, speculate, create synthetic financial instruments and reduce funding and other costs in their trading strategies. The power of options lies in their versatility. They enable an investor to adapt or adjust her position according to any situation that arises. Another benefit of using options is that they provide leverage. Since options cost less than stock, they provide a high-leverage approach to trading that can significantly limit the overall risk of a trade, or provide additional income. This versatility and leverage, however, come at a price. Options are complex securities and can be extremely risky. In this document several aspects of trading and valuing some exotic options are investigated. The aim is to give insight into their uses and the risks involved in their trading. Two volatility-dependent derivatives, namely compound and chooser options; two path-dependent derivatives, namely barrier and Asian options; and lastly binary options, are discussed in detail. The purpose of this study is to provide a reference that contains both the mathematical derivations and detail in valuating these exotic options, as well as an overview of their applicability and use for students and other interested parties.

published_or_final_version / Economics and Finance / Master / Master of Economics

published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

Possessing the knowledge to hedge energy price risks properly is essential and crucial for running a long-term business. In the past, many hedging instruments have been invented and widely used. By using these derivatives, decision makers reduce the price risk to a certain degree. To apply these hedging instruments to the perfect hedging strategies correctly, it is necessary to be familiar with these tools in the first place. This work introduces the financial tools widely applied in hedging, including forward contracts, futures, swaps and options. It also introduces the hedging strategies used on energy hedging. Since individuals are creating strategies according to their unique risk appetite and collected information, this work presents three risk appetites and a method of distinguishing valuable information. With the contribution of this thesis, future works can be done in the field that connect the information valuation and energy hedging by changing the behavior in each risk appetites’ hedging ratio. / text

No description available.

No description available.