Chan Chun Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 63-66). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Volatility Smile and Stochastic Volatility Models --- p.6 / Chapter 2.1 --- Volatility Smile --- p.6 / Chapter 2.2 --- Stochastic Volatility Model --- p.9 / Chapter 2.3 --- Multiscale Stochastic Volatility Model --- p.12 / Chapter 3 --- Lookback Options --- p.14 / Chapter 3.1 --- Lookback Options --- p.14 / Chapter 3.2 --- Lookback Spread Option --- p.15 / Chapter 3.3 --- Dynamic Fund Protection --- p.16 / Chapter 3.4 --- Floating Strike Lookback Options under Black-Scholes Model --- p.17 / Chapter 4 --- Floating Strike Lookback Options under Multiscale Stochastic Volatility Model --- p.21 / Chapter 4.1 --- Multiscale Stochastic Volatility Model --- p.22 / Chapter 4.1.1 --- Model Settings --- p.22 / Chapter 4.1.2 --- Partial Differential Equation for Lookbacks --- p.24 / Chapter 4.2 --- Pricing Lookbacks in Multiscale Asymtoeics --- p.26 / Chapter 4.2.1 --- Fast Tirnescale Asymtotics --- p.28 / Chapter 4.2.2 --- Slow Tirnescale Asymtotics --- p.31 / Chapter 4.2.3 --- Price Approximation --- p.33 / Chapter 4.2.4 --- Estimation of Approximation Errors --- p.36 / Chapter 4.3 --- Floating Strike Lookback Options --- p.37 / Chapter 4.3.1 --- Accuracy for the Price Approximation --- p.39 / Chapter 4.4 --- Calibration --- p.40 / Chapter 5 --- Other Lookback Products --- p.43 / Chapter 5.1 --- Fixed Strike Lookback Options --- p.43 / Chapter 5.2 --- Lookback Spread Option --- p.44 / Chapter 5.3 --- Dynamic Fund Protection --- p.45 / Chapter 6 --- Numerical Results --- p.49 / Chapter 7 --- Conclusion --- p.53 / Appendix --- p.55 / Chapter A --- Verifications --- p.55 / Chapter A.1 --- Formula (4.12) --- p.55 / Chapter A.2 --- Formula (4.22) --- p.56 / Chapter B --- Proof of Proposition --- p.57 / Chapter B.1 --- Proof of Proposition (4.2.2) --- p.57 / Chapter C --- Black-Scholes Greeks for Lookback Options --- p.60 / Bibliography --- p.63
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325416 |
| Date | January 2005 |
| Contributors | Chan, Chun Man., Chinese University of Hong Kong Graduate School. Division of Statistics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vi, 66 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/) |
Page generated in 0.002 seconds