Zhou Xiaozhou. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 58-59). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Overview --- p.1 / Chapter 1.2 --- Organization Outline --- p.4 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Option --- p.5 / Chapter 2.1.1 --- The definition of option --- p.5 / Chapter 2.1.2 --- Payoff of Options --- p.6 / Chapter 2.1.3 --- Black-Scholes Option Pricing Model --- p.7 / Chapter 2.1.4 --- Binomial Model --- p.12 / Chapter 2.2 --- Portfolio Theory --- p.15 / Chapter 2.2.1 --- The Markowitz Mean-Variance Model --- p.15 / Chapter 2.2.2 --- Multi-period Mean-Variance Formulation --- p.17 / Chapter 3 --- Multi-Period Options Portfolio Selection Model with Guaran- teed Return --- p.20 / Chapter 3.1 --- Problem Formulation --- p.20 / Chapter 3.2 --- Solution Algorithm Using Dynamic Programming --- p.25 / Chapter 3.3 --- Numerical Example --- p.27 / Chapter 4 --- Mean-Variance Formulation of Options Portfolio --- p.36 / Chapter 4.1 --- The Problem Formulation --- p.36 / Chapter 4.2 --- Solution Algorithm Using Dynamic Programming --- p.39 / Chapter 4.3 --- Numerical Example --- p.41 / Chapter 5 --- Summary --- p.56
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324299 |
| Date | January 2003 |
| Contributors | Zhou, Xiaozhou., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, ii, 59 leaves : ill. ; 30 cm. |
| Rights | Use 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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