by Ka-kit Chan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves 71-73). / Chapter I. --- Introduction to Stochastic Calculus --- p.1 / Stochastic Processes --- p.2 / Stochastic Integration --- p.6 / Quadratic Variation Processes and Mutual Variation Process --- p.11 / The Ito Formula --- p.13 / Girsanov's Theorem --- p.16 / Stochastic Differential Equations --- p.18 / Chapter II. --- Pricing American Equity Options --- p.21 / A Representation Formula for European Put Option --- p.22 / The Free Boundary Formulation of American Put Option --- p.24 / A Representation Formula for American Put Option --- p.27 / An Alternative Representation Formula for American Put Option --- p.35 / The Optimal Exercise Boundary --- p.37 / Numerical Valuations of the Representation Formulae --- p.39 / Chapter III. --- The Effects of Margin Requirements on Option Prices --- p.42 / Pricing European Options --- p.44 / Pricing American Options --- p.46 / Chapter IV. --- General Pricing Theory --- p.49 / Transformations of Price Processes --- p.50 / No Arbitrage Condition and Completeness of Market --- p.52 / More on Market Completeness --- p.58 / Term Structure of Interest Rate and Interest Rate Options --- p.61 / Pricing Equity Options --- p.67 / Bibliography --- p.71
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_319167 |
| Date | January 1993 |
| Contributors | Chan, Ka-kit., Chinese University of Hong Kong Graduate School. Division of Mathematics. |
| Publisher | Chinese University of Hong Kong |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, iv, 73 leaves ; 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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