Lau, Ka Yung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 78-79). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background --- p.5 / Chapter 2.1 --- Jump Diffusion Models --- p.6 / Chapter 2.2 --- Double Exponential Jump Diffusion Model --- p.8 / Chapter 3 --- Option Pricing with DEJD --- p.10 / Chapter 3.1 --- Laplace Transform --- p.10 / Chapter 3.2 --- European Option Pricing --- p.13 / Chapter 3.3 --- Barrier Option Pricing --- p.14 / Chapter 3.4 --- Lookback Options --- p.16 / Chapter 3.5 --- Turbo Warrant --- p.17 / Chapter 3.6 --- Numerical Examples --- p.26 / Chapter 4 --- Quanto Options under DEJD --- p.30 / Chapter 4.1 --- Domestic Risk-neutral Dynamics --- p.31 / Chapter 4.2 --- The Exponential Copula --- p.33 / Chapter 4.3 --- The moment generating function --- p.36 / Chapter 4.4 --- European Quanto Options --- p.38 / Chapter 4.4.1 --- Floating Exchange Rate Foreign Equity Call --- p.38 / Chapter 4.4.2 --- Fixed Exchange Rate Foreign Equity Call --- p.40 / Chapter 4.4.3 --- Domestic Foreign Equity Call --- p.42 / Chapter 4.4.4 --- Joint Quanto Call --- p.43 / Chapter 4.5 --- Numerical Examples --- p.45 / Chapter 5 --- Path-Dependent Quanto Options --- p.48 / Chapter 5.1 --- The Domestic Equivalent Asset --- p.48 / Chapter 5.1.1 --- Mathematical Results on the First Passage Time of the Mixture Exponential Jump Diffusion Model --- p.50 / Chapter 5.2 --- Quanto Lookback Option --- p.54 / Chapter 5.3 --- Quanto Barrier Option --- p.57 / Chapter 5.4 --- Numerical results --- p.61 / Chapter 6 --- Conclusion --- p.64 / Chapter A --- Numerical Laplace Inversion for Turbo Warrants --- p.66 / Chapter B --- The Relation Among Barrier Options --- p.69 / Chapter C --- Proof of Lemma 51 --- p.71 / Chapter D --- Proof of Theorem 5.4 and 5.5 --- p.74 / Bibliography --- p.78
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325929 |
| Date | January 2007 |
| Contributors | Lau, Ka Yung., 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, vii, 79 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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