Global ETD Search
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Showing 1 to 10 of 10 for “"Asian Options"”.
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Asian Options: Inverse Laplace Transforms and Martingale Methods Revisited
Arithmetic Asian options are difficult to price and hedge, since, at the present, no closed-form analytical solution exists to price them. This difficulty, moreover, has led to the development of various methods and models used to price these instruments. The purpose of this thesis is two-fold. …
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The Vyncke et al. solution for pricing European-style arithmetic Asian options
… paper investigates the European-style arithmetic Asian option pricing solution of Vyncke, Dhaene, and Goovaerts (2004) who apply the concept of comonotonicity to obtain upper and lower bounds for the true option price. A moment-matching formula is used to and a weighted average solution of the two …
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Geometric Asian option: Geometric Ornstein-Uhlenbeck process
Asian options, also known as average value options, are exotic options whose payoffs are dependent on the average prices of the underlying assets over the life of the options. The Asian options are very popular among the market participants when dealing with thinly traded commodities because the …
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Gram-Charlier expansions and option pricing
… is implemented with standard foreign exchange options and gives an exact fit when enough moments are included in the calibration process. GramCharlier expansions also result in analytic solutions for many exotic option prices through an extremely general framework. This relies on representing …
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Applications of Gaussian Process Regression to the Pricing and Hedging of Exotic Derivatives
… time consuming when pricing and hedging exotic options under stochastic volatility models like the Heston model. The purpose of this research is to apply the Gaussian Process Regression (GPR) method to the pricing and hedging of exotic options under the Black-Scholes and Heston model. GPR is a …
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Towards efficient nonlinear option pricing
… option pricing problems, including European options, Asian options and a multi-asset case. The chosen research methodology is the numerical PDE approach which essentially is to solve the nonlinear Black-Scholes equations with the relevant nonlinear volatility functions. The emphasis is on …
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Commodity market modeling and physical trading strategies
… analytical expression for the prices of Asian options is derived and shown to explain the market prices of shipping options. The floating storage trade, which appeared in the oil market in late 2008, is presented as an optimal stopping problem. Using the two-factor model of the forward …
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Robust option pricing : An [epsilon]-arbitrage approach
… aims to provide tractable approaches to price options using robust optimization. The pricing problem is reduced to a problem of identifying the replicating portfolio which minimizes the worst case arbitrage possible for a given uncertainty set on underlying asset returns. We construct …
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The mathematical modelling and numerical solution of options pricing problems
… have been described for a selection of financial options pricing problems. The methods are based on finite difference discretisation coupled with optimal solvers of the resulting discrete systems. Regular Cartesian meshes have been combined with orthogonal co-ordinate transformations chosen for …
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Exotické opce a jejich možné využití v investiční praxi
Diplomová práce primárně řeší zda jsou exotické opce vhodné pro zajištění kurzových rizik a přináší návrh vhodné aplikace exotických opcí. Práce je zaměřena na úzkou skupinu exotických opcí, tzv. Path-Dependent opce. Tři často používané typy těchto opcí jsou analyzovány a testovány jak mezi sebou …