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 20 of 21 for “"exotic options"”.
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Static replication of exotic options
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1997.
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Model Misspecification and the Hedging of Exotic Options
… extensively by practitioners both for pricing options as well as for hedging them. Though Black-Scholes is the original and most commonly communicated asset pricing model, alternative asset pricing models which incorporate additional features have since been developed. We present three asset …
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PRICING BARRIER OPTIONS - USE OF NUMERICAL SIMULATION METHODS
… to develop 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 …
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Applications of Gaussian Process Regression to the Pricing and Hedging of Exotic Derivatives
… 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 exotic options under the Black-Scholes and Heston model. GPR …
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An investigation of short rate models and the pricing of contigent claims in a South African setting
… the entire yield curve and price plain vanilla options. The aim is to investigate which of the more popular short rate models is best suited for pricing such options, which are actively traded in the market. Thus one can then use such models to price more exotic options, as such options are …
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Option Pricing in Non-Competitive Markets
… investors. In chapter 2, how to perfectly hedge options (including vanilla options and exotic options) under the supply curve model in a geometric Brownian motion model is studied. In Chapter 3, local risk minimization method is used to pricing European options with liquidity cost in a …
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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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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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Stochastic time-changed Lévy processes with their implementation
… volatility models for pricing European vanilla options and exotic options. We calibrated five models to European options on the S&P500 and used the calibrated models to price a cliquet option using Monte Carlo simulation. We provide the algorithms required to value the options when using Lévy …
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Gaussian Process Regression for a Single Underlying Autocallable Security
… in Quantitative Finance, in order to price exotic options, particu- larly with path dependency, time consuming Monte Carlo simulations are done. This dissertation considers the use of the machine learning technique Gaussian Process Regression (GPR) as a faster pricing alternative to Monte …
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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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Numerical singular perturbation approaches based on spline approximation methods for solving problems in computational finance
Options are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be …
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The use of implied methodologies in mathematical finance
… market sentiment and for consistent pricing of exotic and derivatives. I explore and exploit the first use by examining the possibility of using an implied distribution of a mixture of two lognormal distributions in order to predict the macroeconomic event of the sterling pound's exit from the …
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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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Efficient Monte Carlo simulations of pricing captions using Libor market models
… 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 …
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Fourier pricing of two-asset options: a comparison of methods
… than its FFT counterparts when pricing vanilla options; however limited comparison has been performed for more exotic options and under varying model assumptions. This paper will expand on this research by considering the efficiency of the two methods when applied to spread and worst-of rainbow …
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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 usually …
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Highly efficient pricing of exotic derivatives under mean-reversion, jumps and stochastic volatility
The pricing of exotic derivatives continues to attract much attention from academics and practitioners alike. Despite the overwhelming interest, the task of finding a robust methodology that could derive closed-form solutions for exotic derivatives remains a difficult challenge. In addition, the …
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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 …
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