This thesis studies two types of problems in financial derivatives pricing. The first type is the free boundary problem, which can be formulated as a partial differential equation (PDE) subject to a set of free boundary condition. Although the functional form of the free boundary condition is given explicitly, the location of the free boundary is unknown and can only be determined implicitly by imposing continuity conditions on the solution. Two specific problems are studied in details, namely the valuation of fixed-rate mortgages and CEV American options. The second type is the multi-dimensional problem, which involves multiple correlated stochastic variables and their governing PDE. One typical problem we focus on is the valuation of basket-spread options, whose underlying asset prices are driven by correlated geometric Brownian motions (GBMs). Analytic approximate solutions are derived for each of these three problems. / For each of the two free boundary problems, we propose a parametric moving boundary to approximate the unknown free boundary, so that the original problem transforms into a moving boundary problem which can be solved analytically. The governing parameter of the moving boundary is determined by imposing the first derivative continuity condition on the solution. The analytic form of the solution allows the price and the hedging parameters to be computed very efficiently. When compared against the benchmark finite-difference method, the computational time is significantly reduced without compromising the accuracy. The multi-stage scheme further allows the approximate results to systematically converge to the benchmark results as one recasts the moving boundary into a piecewise smooth continuous function. / For the multi-dimensional problem, we generalize the Kirk (1995) approximate two-asset spread option formula to the case of multi-asset basket-spread option. Since the final formula is in closed form, all the hedging parameters can also be derived in closed form. Numerical examples demonstrate that the pricing and hedging errors are in general less than 1% relative to the benchmark prices obtained by numerical integration or Monte Carlo simulation. By exploiting an explicit relationship between the option price and the underlying probability distribution, we further derive an approximate distribution function for the general basket-spread variable. It can be used to approximate the transition probability distribution of any linear combination of correlated GBMs. Finally, an implicit perturbation is applied to reduce the pricing errors by factors of up to 100. When compared against the existing methods, the basket-spread option formula coupled with the implicit perturbation turns out to be one of the most robust and accurate approximation methods. / 本論文為金融衍生產品定價的兩類問題作出了研究。第一類是自由邊界問題，它可以制定一個受制於自由邊界條件的偏微分方程式(PDE)，雖然當中自由邊界條件的函數形式是已知的，但自由邊界的位置是未知的，只能通過為實際解施加連續性條件作隱式確定。這裡為兩個具體問題進行了研究，分別是固定利率按揭合約(fixed-rate mortgages)定價和方差恆彈性模型的美式期權(CEV American options)定價。第二類是多維問題，它涉及到多個相關隨機變量及他們引申出的多維PDE。這裡為一個典型例子進行了研究，稱為籃子差異期權(basket-spread options)，其基礎資產價格由相關的幾何布朗運動驅動。我們為這三個問題提出了解析近似解。 / 對於上述的自由邊界問題，我們提出了一項參數移動邊界來近似模仿未知的自由邊界，使原來的自由邊界問題轉化為移動邊界問題，從而提出一種解析近似解。控制移動邊界的參數是通過滿足近似解的一階導數連續性條件來定。得到了解析近似解令當中的衍生產品定價和避險參數能有效快速地計算出，相比於有限差分法(finite-difference method)，精度保持了但計算時間顯著降低。再透過應用一個多階段方案，將移動邊界重鑄成一項分段光滑的連續函數，能有系統地將近似解的結果逼近有限差分法的結果。 / 對於上述的多維問題，我們從Kirk(1995)的二維差異期權(spread option)近似解定價公式推廣到多維的籃子差異期權。由於最終的定價公式是封閉形式，所有避險參數也從而得到封閉式近似解。從一些模擬例子顯示出，近似解的定價和避險參數，與通過數值積分法(numerical integration)或蒙地卡羅模擬法(Monte Carlo simulation)獲得的基準值比較，只有小於百分之一的誤差。此外，透過利用一種期權價格和相關基礎變量的概率分佈關係，我們進一步推論出一項籃子差異變量的近似解分佈函數，這可應用到任何多維幾何布朗運動的線性組合變量分佈。最後，我們提出一種隱式攝動方法，把定價誤差減少高達一百倍，跟現有的近似解定價方法相比，這是其中一種最健全和準確的籃子差異期權定價方法。 / Lau, Chun Sing = 自由邊界和多維的金融衍生產品定價問題 : 解析近似解 / 劉振聲. / Thesis Ph.D. Chinese University of Hong Kong 2014. / Includes bibliographical references (leaves 174-186). / Abstracts also in Chinese. / Title from PDF title page (viewed on 12, September, 2016). / Lau, Chun Sing = Zi you bian jie he duo wei de jin rong yan sheng chan pin ding jia wen ti : jie xi jin si jie / Liu Zhensheng. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only.
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_1291256 |
| Date | January 2014 |
| Contributors | Lau, Chun Sing (author.), Lo, Chi Fai (thesis advisor.), Chinese University of Hong Kong Graduate School. Division of Physics. (degree granting institution.) |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography, text |
| Format | electronic resource, electronic resource, remote, 1 online resource (xvi, 186 leaves) : illustrations (some color), computer, online resource |
| 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 0.0028 seconds