Cheung Ying Lok. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 46-47). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Review on the fast mean-reverting stochastic volatility --- p.5 / Chapter 2.1 --- Estimation of mcan reversion ratc --- p.5 / Chapter 2.2 --- Methodology of pricing European option --- p.6 / Chapter 2.3 --- Capturing European smiles --- p.7 / Chapter 2.4 --- Model settings to GAO --- p.9 / Chapter 3 --- Pricing GAOs in asymptotic expansions --- p.12 / Chapter 3.1 --- Floating strike gcomctric Asian call --- p.16 / Chapter 3.2 --- Fixed strike gcomctric Asian call --- p.19 / Chapter 3.3 --- General gcomctric Asian claims --- p.21 / Chapter 4 --- Accuracy of pricing approximation --- p.24 / Chapter 5 --- Volatility smiles and calibration --- p.38 / Chapter 5.1 --- Capturing Asian smiles --- p.39 / Chapter 5.2 --- Capturing Asian and European smiles together --- p.41 / Chapter 6 --- Conclusion --- p.44 / References --- p.46 / Graphs --- p.48
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324999 |
| Date | January 2004 |
| Contributors | Cheung, Ying Lok., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, 52 leaves : ill. ; 30 cm. |
| Coverage | Asia |
| 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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