Wong, Shiu Fung. / "July 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 36-38). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Participating policy --- p.4 / Chapter 3 --- Levy Process and its use in financial modelling --- p.8 / Chapter 3.1 --- Levy process in asset modelling --- p.8 / Chapter 3.2 --- Levy process in derivative pricing --- p.11 / Chapter 3.2.1 --- Review of FFT methods in option pricing --- p.12 / Chapter 3.2.2 --- Expectation using FFT --- p.13 / Chapter 4 --- Network methodology --- p.17 / Chapter 4.1 --- Asset dynamic: Network Approach --- p.17 / Chapter 4.1.1 --- Transition probability by FFT --- p.18 / Chapter 4.1.2 --- Example in American option pricing --- p.19 / Chapter 4.2 --- Extended Network for Participating Contract --- p.20 / Chapter 4.3 --- Practical network construction --- p.22 / Chapter 4.3.1 --- Modified network-drift offsetting --- p.23 / Chapter 4.3.2 --- Logarithmic scale network --- p.25 / Chapter 4.4 --- Incorporating surrender rights and mortality --- p.26 / Chapter 4.4.1 --- Surrender right --- p.26 / Chapter 4.4.2 --- Mortality --- p.27 / Chapter 4.5 --- Proof of convergence --- p.28 / Chapter 5 --- Numerical Results --- p.32 / Chapter 5.1 --- The Black and Scholes model --- p.33 / Chapter 5.2 --- The Merton's Jump diffusion model --- p.33 / Chapter 5.3 --- Variance gamma model --- p.34 / Chapter 6 --- Conclusion --- p.35 / Bibliography --- p.36
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327190 |
| Date | January 2010 |
| Contributors | Wong, Shiu Fung., 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, x, 38 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/) |
Page generated in 0.002 seconds