Bao, Zhenhua. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Review of the Models --- p.6 / Chapter 2.1.1 --- Black-Scholes-Merton Model --- p.6 / Chapter 2.1.2 --- Merton's Jump Diffusion Model --- p.8 / Chapter 2.1.3 --- Stochastic Volatility Jump Diffusion Model --- p.10 / Chapter 2.1.4 --- Constant Elasticity of Variance (CEV) Model --- p.13 / Chapter 2.2 --- Kou´ةs Double Exponential Jump Diffusion Model --- p.16 / Chapter 2.2.1 --- The Model Formulation --- p.16 / Chapter 2.2.2 --- The Merits of the Model --- p.17 / Chapter 2.2.3 --- Preliminary Results --- p.20 / Chapter 2.2.4 --- Extant Results on Option Pricing under the Model --- p.21 / Chapter 2.3 --- The Laplace Transform and Its Inversion --- p.24 / Chapter 2.3.1 --- The Laplace Transform --- p.24 / Chapter 2.3.2 --- One-dimensional Euler Laplace Transform Inversion Algorithm --- p.25 / Chapter 2.3.3 --- Two-dimensional Euler Laplace Transform Inversion Algorithm --- p.28 / Chapter 2.4 --- Monte Carlo Simulation for Double Exponential Jump Diffusion --- p.32 / Chapter 3 --- Pricing Double Barrier Option via Laplace Transform --- p.34 / Chapter 3.1 --- Double Barrier Option and the First Passage Time --- p.35 / Chapter 3.2 --- Preliminary Results --- p.35 / Chapter 3.3 --- Laplace Transform of the First Passage Time --- p.38 / Chapter 3.4 --- Pricing Double Barrier Option via Laplace Transform --- p.50 / Chapter 4 --- Numerical Results --- p.54 / Chapter 5 --- Conclusion --- p.57
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326573 |
| Date | January 2008 |
| Contributors | Bao, Zhenhua., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text |
| Format | print, vi, 52 p. : 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/) |
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