Digital options, the basic building blocks for valuing complex financial assets, they play an important role in options valuation and hedging. We survey the digital options pricing formula under diffusion processes and jump-diffusion processes.
Since the existent first-touch digital options pricing formulas with jump-diffusion processes are all in their Laplace transform of the option value. To inverse the Laplace transforms is critical when doing options valuation. Therefore, we adopt a phase-type jump-diffusion model which is developed by Chen, Lee and Sheu [2007] as our main model, and use FFT inversion to get the first-touch digital option price under
(2,2)-factor exponential jump-diffusion processes.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0804108-135831 |
| Date | 04 August 2008 |
| Creators | Huang, Heng-Ching |
| Contributors | Ming-Chi Chen, Jen-Jsung Huang, Chou-Wen Wang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0804108-135831 |
| Rights | restricted, Copyright information available at source archive |
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