Lo, Yu Wai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 66-70). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.8 / Chapter 2.1 --- Mean-reverting Model --- p.8 / Chapter 2.2 --- Volatility Smile --- p.11 / Chapter 2.3 --- Stochastic Volatility Model --- p.13 / Chapter 2.4 --- Multiscale Stochastic Volatility Model --- p.15 / Chapter 3 --- The Heston Stochastic Volatility --- p.17 / Chapter 3.1 --- The Model --- p.17 / Chapter 3.1.1 --- The Characteristic Function --- p.18 / Chapter 3.2 --- European Option Pricing --- p.24 / Chapter 3.2.1 --- Plain Vanilla Options --- p.25 / Chapter 3.2.2 --- Implied Volatility --- p.28 / Chapter 3.2.3 --- Other Payoff Functions --- p.30 / Chapter 3.3 --- Trinomial Tree: Exotic Option Pricing --- p.31 / Chapter 3.3.1 --- Sub-tree for the volatility --- p.33 / Chapter 3.3.2 --- Sub-tree for the asset --- p.34 / Chapter 3.3.3 --- Non-zero Correlation --- p.37 / Chapter 3.3.4 --- Calibration to Future prices --- p.38 / Chapter 3.3.5 --- Numerical Examples --- p.39 / Chapter 4 --- Multiscale Stochastic Volatility --- p.42 / Chapter 4.1 --- Model Settings --- p.42 / Chapter 4.2 --- Pricing --- p.44 / Chapter 4.3 --- Simulation studies --- p.54 / Chapter 5 --- Conclusion --- p.59 / Appendix --- p.61 / Chapter A --- Verifications --- p.61 / Chapter A.l --- Proof of Lemma 3.1.1 --- p.61 / Chapter B --- Black-Scholes Greeks --- p.64 / Bibliography --- p.66
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326310 |
| Date | January 2008 |
| Contributors | Lo, Yu Wai., 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, viii, 70 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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