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Showing 1 to 2 of 2 for “"Risk-neutral probability measure."”.
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Characterizations of and closed-form solutions for plain vanilla and exotic derivatives
… essay proposes an approach to valuation and risk management of deferred start barrier options within the Black and Scholes (1973) framework. We provide closed-form solutions which are functions of the implied volatility smile. Our barrier options are contingent claims on two perfectly …
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Pricing of contingent claims under the real-world measure
… to price contingent claims under the real-world probability measure. Real-world pricing results naturally by selecting the numeraire as the growth optimal portfolio (GOP). Under this approach, the existence of an equivalent risk-neutral probability measure is not required. Furthermore, the GOP …