This dissertation studies the pricing of Outside barrier call options, when their activation starts at a
hitting time. The pricing of Outside barrier options when their activation starts at time zero, and the
pricing of standard barrier options when their activation starts at a hitting time of a pre speci ed
barrier level, have been studied previously (see [21], [24]).
The new work that this dissertation will do is to price Outside barrier call options, where they will be
activated when the triggering asset crosses or hits a pre speci ed barrier level, and also the pricing of
Outside barrier call options where they will be activated when the triggering asset crosses or hits a
sequence of two pre specifed barrier levels. Closed form solutions are derived using Girsanov's theorem
and the re
ection principle. Existing results are derived from the new results, and properties of the new
results are illustrated numerically and discussed. / Mathematical Sciences / M. Sc. (Applied Mathematics)
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:unisa/oai:uir.unisa.ac.za:10500/19730 |
| Date | 02 1900 |
| Creators | Mofokeng, Jacob Moletsane |
| Contributors | Rapoo, E. M. |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Dissertation |
| Format | 1 online resource (ix, 134 leaves) |
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