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 10 of 10 for “"Barrier option"”.
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Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory
… a general model that prices Black-Scholes options subject to intertemporal default risk using stochastic barrier option pricing theory. The explicit closed-form solution is obtained by generalizing the reflection principle to k-space to determine the appropriate transition density function. …
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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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Optimal tree methods
… methods are the simplest numerical methods for option pricing, much work remains to be done regarding their optimal parameterization and construction. This work examines the parameterization of traditional tree methods as well as the techniques commonly used to accelerate their convergence. The …
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Applications of Gaussian Process Regression to the Pricing and Hedging of Exotic Derivatives
Traditional option pricing methods like Monte Carlo simulation can be 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 …
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Risk management for property casualty insurance companies
… on insurance company profitability. We use barrier option pricing models to mimic the impact of solvency requirements on firm-wide risk. This methodology of measuring risk is better than plain vanilla option pricing models, in that, through the option to an early default, we are able to …
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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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Stochastic Optimization approaches for trading on financial and energy markets
… First, for a rather broad class of financial options a stochastic model predictive control (SMPC) approach is proposed for dynamically hedging a portfolio of underlying assets.After formulating the dynamic hedging problem as a stochastic control problem with a least-squares criterion, for …
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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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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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The Hilbert Transform and its Applications in Computational finance
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