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Esscher transform of option pricing on a mean-reverting asset with GARCH.

Gao, Fei. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 52-53). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Option Pricing with GARCH --- p.1 / Chapter 1.2 --- Mean Reversion in GARCH --- p.3 / Chapter 1.3 --- Thesis Setting --- p.4 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- GARCH Model --- p.5 / Chapter 2.2 --- Locally Risk-Neutral Valuation --- p.8 / Chapter 2.3 --- Conditional Esscher Transform --- p.9 / Chapter 3 --- The Model --- p.12 / Chapter 3.1 --- The Mean-Reverting GARCH Model --- p.12 / Chapter 3.2 --- The Characteristic Functions --- p.15 / Chapter 3.3 --- Identification of Pricing Measures --- p.21 / Chapter 3.3.1 --- Conditional Esscher Transform --- p.21 / Chapter 3.3.2 --- Our Proposed Change of Measure --- p.25 / Chapter 4 --- Option Pricing --- p.30 / Chapter 4.1 --- Fast Fourier Transform --- p.30 / Chapter 4.2 --- Option on Futures : --- p.32 / Chapter 4.3 --- Numerical Analysis --- p.35 / Chapter 5 --- Empirical Analysis - Application to the crude oil market --- p.37 / Chapter 5.1 --- Description of data --- p.37 / Chapter 5.2 --- Estimation --- p.38 / Chapter 5.3 --- Comparisons --- p.40 / Chapter 6 --- Summary and Future work --- p.42 / Chapter 7 --- Appendix --- p.43 / Bibliography --- p.52

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327471
Date January 2011
ContributorsGao, Fei., 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, vi, 53 leaves : ill. ; 30 cm.
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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