Zhao Jing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 72-74). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Constant Elasticity of Variance Model --- p.6 / Chapter 2.1 --- The CEV Assumption --- p.7 / Chapter 2.2 --- Properties of the CEV Model --- p.9 / Chapter 2.3 --- Empirical Evidence and Theoretical Support --- p.11 / Chapter 3 --- Option Pricing under CEV --- p.14 / Chapter 3.1 --- The Valuation of European Options --- p.14 / Chapter 3.2 --- The Valuation of American Options --- p.17 / Chapter 3.3 --- "How ""far"" is Enough?" --- p.19 / Chapter 4 --- The Proposed Artificial Boundary Approach --- p.21 / Chapter 4.1 --- Standardized Form of the CEV Model --- p.21 / Chapter 4.2 --- Exact Artificial Boundary Conditions --- p.23 / Chapter 4.3 --- The Integral Kernels and Numerical Laplace Inversion --- p.31 / Chapter 5 --- Numerical Examples --- p.35 / Chapter 5.1 --- General Numerical Scheme --- p.35 / Chapter 6 --- Homotopy Analysis Method --- p.47 / Chapter 6.1 --- The Front-Fixing Transformation --- p.47 / Chapter 6.2 --- Homotopy Analysis Method --- p.49 / Chapter 6.2.1 --- Zero-order Deformation Equation --- p.50 / Chapter 6.2.2 --- High-order Deformation Equation --- p.54 / Chapter 6.2.3 --- Pade Technique --- p.57 / Chapter 6.3 --- Numerical Comparison --- p.58 / Chapter 7 --- Conclusion --- p.63 / Appendix --- p.65 / Chapter A --- The Valuation of Perpetual American Options --- p.65 / Chapter B --- "Derivation of G(Y,r) = Ls-1 ((Y/a)vKv(Y)/sKv(sa)" --- p.66 / Chapter C --- Numerical Laplace Inversion --- p.68 / Bibliography --- p.72
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325936 |
| Date | January 2007 |
| Contributors | Zhao, Jing., 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, 2, vi, 74 leaves : ill. (chiefly col.) ; 30 cm. |
| Coverage | United States |
| 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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