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Geometric Asian options under stochastic volatility.

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

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324999
Date January 2004
ContributorsCheung, Ying Lok., 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, 52 leaves : ill. ; 30 cm.
CoverageAsia
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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