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 6 of 6 for “"exotic option"”.
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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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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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Long-memory stochastic volatility model calibration using deep neural nets
… extensively used in the industry for vanilla and exotic option pricing. Although the model assumes constant volatility which is not observed in the market, the widespread use is sustained due to its closed-form solution for European vanilla option. However, with the advent of neural networks, …
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Improving Public-Private Partnership Contracts through Risk Characterization, Contract Mechanisms, and Flexibility
… guarantees, commonly structured as standard options to mitigate revenue risk, were redesigned to incorporate exotic option features; quantitative analysis revealed that exotic structures can better serve chief PPP stakeholders' interests through increased robustness and flexibility.
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Analysis of employee stock options and guaranteed withdrawal benefits for life
… we study the problem of pricing Employee Stock Options (ESOs) from the point of view of the issuing company. Since an employee cannot trade or eectively hedge ESOs, she exercises them to maximize a subjective criterion of value. Modeling this exercise behavior is key to pricing ESOs. We argue …
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Efficient Monte Carlo simulations of pricing captions using Libor market models
The cap option (caption) is one of common European exotic options discussed in literature. This (interest rates) exotic option has no closed form solution and its accurate pricing and hedging in a volatile market is a challenge for traders. The reason for this is that, comparatively, the behaviour …