Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"Barrier Options"”.
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Superreplication method for multi-asset barrier options.
The aim of this thesis is to study multi-asset barrier options, where the volatilities of the stocks are assumed to define a matrix-valued bounded stochastic process. The bounds on volatilities may represent, for instance, the extreme values of the volatilities of traded options. As the …
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PRICING BARRIER OPTIONS - USE OF NUMERICAL SIMULATION METHODS
… a general model for the pricing of Exotic options (in particular, barrier options). Exotic options are increasing in popularity because of the amount of flexibility they offer. They can be tailor made to suit the risk - return profile of any investor and hence they are an important tool in …
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Pricing discretely monitored barrier options under exponential-Levy processes
One of the main factors in pricing barrier options is deciding whether to monitor the underlying asset price in continuous time or for a fixed set of time points. Most actively traded barrier options are monitored in discrete time due to reasons such as regulation and practical implementation. This …
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Static hedging of barrier options : a review of four methods
This paper examines the static hedging of a European up-and-out call option. Four different static hedging models are examined in detail and are implemented. Their hedging performance is examined in a framework that aims to simulate real market conditions. This is done to determine the practical …
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Efficient numerical methods for the valuation of American barrier options
[Thesis has an accompanying disc.] The barrier option is the most popular exotic option traded today. Because such options have a discontinuous payoff pattern, their accurate valuation is a particular challenge. Most popular in the OTC market, a lack of a liquid secondary market in these products …
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Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model
We focus on the pricing of Bermudan and barrier options under the dynamics of the Heston stochastic volatility model. The two-dimensional nature of the Heston model makes the pricing of these options problematic, as the risk-neutral expectations need to be calculated at each exercise/observation …
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Finite activity jump models for option pricing
… is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. Bates model combines Merton's jump diffusion model and Heston's stochastic volatility model. We look at the calibration problem and use Matlab functions to …
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Characterizations of and closed-form solutions for plain vanilla and exotic derivatives
… closed-form solutions for European plain vanilla options. A further extension to displaced gamma tails is possible while retaining full analytical tractability. We propose an efficient routine to estimate the physical model parameters through maximum likelihood. Our empirical analysis covers a …
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A Study in the Modeling of Stock Options
… asset. Some examples of derivatives are options, futures and swaps. In this work we talk exclusively about options. There are many different type of options, for example, call, put, American options, European options, barrier options and many more. The valuation of these options poses an …
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Efficient numerical methods based on integral transforms to solve option pricing problems
… we use this approach to price plain vanilla options and then extend it to price options described by a jump-diffusion model, barrier options and the Heston’s volatility model. To approximate the integral part in the jump-diffusion model, we use the Gauss-Legendre quadrature method. Finally, …
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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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Analytical Methods For Levy Processes With Applications To Finance
… continuously monitored, fixed strike Asian call options. Next, we answer an open question about the density of the supremum of an alpha-stable process. We find that the density has a conditionally convergent double series representation when alpha is an irrational number. Lastly, we develop an …
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Recursive marginal quantization: extensions and applications in finance
… models by pricing European, Bermudan and barrier options. The current theoretical error bound is extended to apply to the proposed higher-order methods. When applied to two-factor models, recursive marginal quantization becomes computationally inefficient as the optimization problem …
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2-Factor Models in Credit and Energy Markets
… is used to price a number of exotic structures – barrier options, Target Redemption Notes and European and Bermudan Swaptions – that are common in the oil market. Based on the results it is clear that being able to capture the smile dynamics is very important not only for valuation reasons but …
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Option Pricing models with Stochastic Volatility and Jumps
Exotic equity options are specialized instruments which are typically traded over the counter. Their prices are primarily determined by option pricing models which should be able to price exotic options consistently with the market prices of corresponding vanilla options. Additionally, option …
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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 …