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Quanto options under double exponential jump diffusion.

Lau, Ka Yung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 78-79). / 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 Risk-neutral 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 --- Path-Dependent 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

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325929
Date January 2007
ContributorsLau, Ka Yung., Chinese University of Hong Kong Graduate School. Division of Risk Management Science.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vii, 79 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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