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Dissertations / Theses on the topic 'Leland option pricing models'

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Published: 3 June 2025
Last updated: 19 July 2025

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1

Timsina, Tirtha Prasad. "Sensitivities in Option Pricing Models." Diss., Virginia Tech, 2007. http://hdl.handle.net/10919/28904.

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The inverse problem in finance consists of determining the unknown parameters of the pricing equation from the values quoted from the market. We formulate the inverse problem as a minimization problem for an appropriate cost function to minimize the difference between the solution of the model and the market observations. Efficient gradient based optimization requires accurate gradient estimation of the cost function. In this thesis we highlight the adjoint method for computing gradients of the cost function in the context of gradient based optimization and show its importance. We derive the c
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2

Christoforidou, Amalia. "Regime-switching option pricing models." Thesis, University of Glasgow, 2015. http://theses.gla.ac.uk/6684/.

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Part I: This chapter develops a lattice method for option evaluation aiming to investigate whether the option prices reflect the shifts in the distributions of the underlying asset returns and the risk-free interest rate. More precisely we try to investigate whether the option prices reflect the switches in the correlation between the underlying and risk-free bond returns that characterise different states of the economy. For this reason we develop and test two models. In the first model we allow all the parameters to follow a regime-switching process while in the second model, in order to iso
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3

劉伯文 and Pak-man Lau. "Option pricing: a survey." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31977911.

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4

Duan, Fangjing. "Option pricing models and volatility surfaces." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03607991001/$FILE/03607991001.pdf.

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5

Kalavrezos, Michail, and Michael Wennermo. "Stochastic Volatility Models in Option Pricing." Thesis, Mälardalen University, Department of Mathematics and Physics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-538.

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<p>In this thesis we have created a computer program in Java language which calculates European call- and put options with four different models based on the article The Pricing of Options on Assets with Stochastic Volatilities by John Hull and Alan White. Two of the models use stochastic volatility as an input. The paper describes the foundations of stochastic volatility option pricing and compares the output of the models. The model which better estimates the real option price is dependent on further research of the model parameters involved.</p>
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6

Anderson, Michael. "Option pricing using hidden Markov models." Master's thesis, University of Cape Town, 2006. http://hdl.handle.net/11427/10045.

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Includes bibliographical references (leaves 144-149).<br>This work will present an option pricing model that accommodates parameters that vary over time, whilst still retaining a closed-form expression for option prices: the Hidden Markov Option Pricing Model. This is possible due to the macro-structure of this model and provides the added advantage of ensuring efficient computation of option prices. This model turns out to be a very natural extension to the Black-Scholes model, allowing for time-varying input parameters.
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7

Yoon, Jungyeon Ji Chuanshu. "Option pricing with stochastic volatility models." Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2008. http://dc.lib.unc.edu/u?/etd,1964.

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Thesis (Ph. D.)--University of North Carolina at Chapel Hill, 2008.<br>Title from electronic title page (viewed Dec. 11, 2008). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of Statistics and Operations Research Statistics." Discipline: Statistics and Operations Research; Department/School: Statistics and Operations Research.
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8

Fonseca, Francisco Maria de Mateus e. Jorge da. "Fractional diffusion models and option pricing in jump models." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19086.

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Mestrado em Mathematical Finance<br>O problema de valorização de derivados tem sido o foco da investigação em Matemática Financeira desde a sua conceção. Mais recentemente, a literatura tem-se focado por exemplo em modelos que assumem que as dinâmicas do preço do ativo subjacente são governadas por um processo de Lévy (por vezes chamado um processo com saltos). Este tipo de modelo admite a possibilidade de eventos extremos (saltos), que não são devidamente capturados por modelos clássicos do tipo Black-Scholes, alicerçados no movimento Browniano. Foi também demonstrado ao longo da última décad
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9

McWilliams, Nairn Anthony. "Option pricing techniques under stochastic delay models." Thesis, University of Edinburgh, 2011. http://hdl.handle.net/1842/5754.

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The Black-Scholes model and corresponding option pricing formula has led to a wide and extensive industry, used by financial institutions and investors to speculate on market trends or to control their level of risk from other investments. From the formation of the Chicago Board Options Exchange in 1973, the nature of options contracts available today has grown dramatically from the single-date contracts considered by Black and Scholes (1973) to a wider and more exotic range of derivatives. These include American options, which can be exercised at any time up to maturity, as well as options ba
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10

Shi, Lishan. "Stochastic volatility in mean option pricing models." Thesis, University of Cambridge, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.614015.

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11

Koimburi, Mercy Muthoni. "Finite activity jump models for option pricing." Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/9115.

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Includes bibliographical references<br>This thesis aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis 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 model the DAX options volatility surface. Finally, using the parameters generated, we use the two state
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12

Chen, Sijin. "Asian Spread Option Pricing Models and Computation." BYU ScholarsArchive, 2010. https://scholarsarchive.byu.edu/etd/2369.

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In the commodity and energy markets, there are two kinds of risk that traders and analysts are concerned a lot about: multiple underlying risk and average price risk. Spread options, swaps and swaptions are widely used to hedge multiple underlying risks and Asian (average price) options can deal with average price risk. But when those two risks are combined together, then we need to consider Asian spread options and Asian-European spread options for hedging purposes. For an Asian or Asian-European spread call option, its payoff depends on the difference of two underlyings' average price or of
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13

Seifert, Thomas. "Multi-dimensional Markov functional models in option pricing." [S.l.] : [s.n.], 2004. http://deposit.ddb.de/cgi-bin/dokserv?idn=971359628.

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14

Palomba, Marilena. "Stochastic Volatility Jump Models for Cryptocurrency Option Pricing." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2021. http://amslaurea.unibo.it/23077/.

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Le criptovalute stanno acquisendo straordinaria importanza come asset finanziari nell'economia contemporanea. Le loro caratteristiche rivoluzionarie, l'innovativa struttura sottostante e la crescente capitalizzazione incentivano lo studio del mercato delle criptovalute. Anche se la ricerca è ancora limitata, l'effettiva disponibilità di opzioni e futures negoziati su piattaforme di scambio indipendenti incoraggia la costruzione e la formalizzazione di un mercato apposito. Vista la mancanza di una regolamentazione centrale e l'assenza di opzioni ufficialmente negoziate sul mercato, comprendere
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15

Zhou, Yu. "Option pricing and hedging in jump diffusion models." Thesis, Uppsala University, Department of Mathematics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-125733.

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16

Nassar, Hiba. "Regularized Calibration of Jump-Diffusion Option Pricing Models." Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-9063.

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An important issue in finance is model calibration. The calibration problem is the inverse of the option pricing problem. Calibration is performed on a set of option prices generated from a given exponential L´evy model. By numerical examples, it is shown that the usual formulation of the inverse problem via Non-linear Least Squares is an ill-posed problem. To achieve well-posedness of the problem, some regularization is needed. Therefore a regularization method based on relative entropy is applied.
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17

Slinko, Irina. "Essays in option pricing and interest rate models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI), 2006. http://www2.hhs.se/EFI/summary/706.htm.

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18

Tong, Zhigang. "Option Pricing with Long Memory Stochastic Volatility Models." Thèse, Université d'Ottawa / University of Ottawa, 2012. http://hdl.handle.net/10393/23490.

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In this thesis, we propose two continuous time stochastic volatility models with long memory that generalize two existing models. More importantly, we provide analytical formulae that allow us to study option prices numerically, rather than by means of simulation. We are not aware about analytical results in continuous time long memory case. In both models, we allow for the non-zero correlation between the stochastic volatility and stock price processes. We numerically study the effects of long memory on the option prices. We show that the fractional integration parameter has the opposite effe
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19

Doshi, Ankit. "Seasonal volatility models with applications in option pricing." Gowas Publishing House, 2011. http://hdl.handle.net/1993/8889.

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GARCH models have been widely used in finance to model volatility ever since the introduction of the ARCH model and its extension to the generalized ARCH (GARCH) model. Lately, there has been growing interest in modelling seasonal volatility, most recently with the introduction of the multiplicative seasonal GARCH models. As an application of the multiplicative seasonal GARCH model with real data, call prices from the major stock market index of India are calculated using estimated parameter values. It is shown that a multiplicative seasonal GARCH option pricing model outperforms the Black-
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20

Kalsheker, Farhan. "Option Pricing models with Stochastic Volatility and Jumps." Master's thesis, University of Cape Town, 2009. http://hdl.handle.net/11427/4896.

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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 pricing models should have intuitive dynamics which are able to capture real world behavior (such as stochastic volatility effects and jumps in the price of the underlying). This dissertation tackles the question of which option pricing model to use; it compares diffusion, pure jump and jump-diffusion mod
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21

Chan, Ka Hou. "European call option pricing under partial information." Thesis, University of Macau, 2017. http://umaclib3.umac.mo/record=b3691380.

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22

Zvan, Robert. "The numerical solution of two-factor option pricing models." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0010/NQ52030.pdf.

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23

Mobbs, David. "Calibrating and hedging in multi-dimensional option pricing models." Thesis, Imperial College London, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.436339.

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24

COSTA, RENATO ALENCAR ADELINO DA. "RISK NEUTRAL OPTION PRICING UNDER SOME SPECIAL GARCH MODELS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2010. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=16579@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>O apreçamento de opções é um assunto muito importante nos dias de hoje. Métodos probabilisticos são necessários para fazer o apreçamento neutro ao risco. Usaremos o método de Siu et al. para duas classes de GARCHs, o FC-GARCH e a mistura de GARCHs Em ambos os modelos nós encontramos a versão neutra ao risco do modelo que é necessária para a precificação de contratos, em dois diferentes casos, quando o ruído é normal e quando é shifted gamma. Fizemos também simulações para ilustrar e comparamos os resultados com o valor de Black S
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25

Li, Chao. "Option pricing with generalized continuous time random walk models." Thesis, Queen Mary, University of London, 2016. http://qmro.qmul.ac.uk/xmlui/handle/123456789/23202.

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The pricing of options is one of the key problems in mathematical finance. In recent years, pricing models that are based on the continuous time random walk (CTRW), an anomalous diffusive random walk model widely used in physics, have been introduced. In this thesis, we investigate the pricing of European call options with CTRW and generalized CTRW models within the Black-Scholes framework. Here, the non-Markovian character of the underlying pricing model is manifest in Black-Scholes PDEs with fractional time derivatives containing memory terms. The inclusion of non-zero interest rates leads t
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26

Cantarutti, Nicola. "Option pricing in exponential Lévy models with transaction costs." Doctoral thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20786.

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Doutoramento em Matemática Aplicada à Economia e Gestão<br>In this thesis we present a new model for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential Lévy process. The model is a generalization of the celebrated work of Davis, Panas and Zariphopoulou, where the value of the option is defined as the utility indifference price. This approach requires the solution of a stochastic singular control problem in finite time. We introduce the general formulation of the problem, and derive the associated Hamilton-Jacobi-Bellm
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27

Strauss, Arne Karsten. "Numerical Analysis of Jump-Diffusion Models for Option Pricing." Thesis, Virginia Tech, 2006. http://hdl.handle.net/10919/33917.

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Jump-diffusion models can under certain assumptions be expressed as partial integro-differential equations (PIDE). Such a PIDE typically involves a convection term and a nonlocal integral like for the here considered models of Merton and Kou. We transform the PIDE to eliminate the convection term, discretize it implicitly using finite differences and the second order backward difference formula (BDF2) on a uniform grid. The arising dense linear system is solved by an iterative method, either a splitting technique or a circulant preconditioned conjugate gradient method. Exploiting the Fast Four
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28

Oagile, Joel. "Sequential Calibration of Asset Pricing Models to Option Prices." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29840.

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This paper implements four calibration methods on stochastic volatility models. We estimate the latent state and parameters of the models using three non-linear filtering methods, namely the extended Kalman filter (EKF), iterated extended Kalman filter (IEKF) and the unscented Kalman filter (UKF). A simulation study is performed and the non-linear filtering methods are compared to the standard least square method (LSQ). The results show that both methods are capable of tracking the hidden state and time varying parameters with varying success. The non-linear filtering methods are faster and ge
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Rahantamialisoa, Hasinavonizaka Fanirisoa Zazaravaka <1984&gt. "Integration of VIX information in GARCH option pricing models." Doctoral thesis, Università Ca' Foscari Venezia, 2018. http://hdl.handle.net/10579/15566.

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30

Payne, M. K. "Hedging and trading models for currency options portfolios." Thesis, Imperial College London, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.296907.

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31

Karlén, Anne, and Hossein Nohrouzian. "Lattice approximations for Black-Scholes type models in Option Pricing." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-21951.

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This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. Furthermore, the convergence of binomial model to normal distribution, Geometric Brownian Motion and Black-Scholes model isdiscussed. Finally, the connections and interrelations between discrete random variables under the Lattice approach and continuous random variables under models which follow Geometric Brownian Motion are discussed, compared and con
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32

Winter, Christoph. "Wavelet Galerkin schemes for option pricing in multidimensional Lévy models /." Zürich : ETH, 2009. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=18221.

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33

Neset, Yngvild. "Spectral Discretizations of Option Pricing Models for European Put Options." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag, 2014. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-26546.

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The aim of this thesis is to solve option pricing models efficiently by using spectral methods. The option pricing models that will be solved are the Black-Scholes model and Heston&apos;s stochastic volatility model. We will restrict us to pricing European put options. We derive the partial differential equations governing the two models and their corresponding weak formulations. The models are then solved using both the spectral Galerkin method and a polynomial collocation method. The numerical solutions are compared to the exact solution. The exact solution is also used to study the numerica
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34

ALEXANDRE, RODRIGO E. ALVIM. "STOCHASTIC VOLATILITY MODELS FOR STOCK OPTION PRICING IN BRAZILIAN MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=36733@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO<br>Na tentativa de melhor capturar fatos estilizados do comportamento dos preços de opções financeiras, em especial para tratar a questão do sorriso da volatilidade, modelos de volatilidade estocástica têm sido objeto de estudo em diversos mercados. Neste contexto, o principal objetivo deste trabalho é avaliar os modelos de volatilidade estocástica de Heston (1993), Bates (1996) e Double Heston (2009) junto ao método de Le
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35

Veraart, Luitgard Anna Maria. "Mathematical models for market making, option pricing and systemic risk." Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.613365.

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36

West, Lydia. "American Monte Carlo option pricing under pure jump levy models." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/79994.

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Thesis (MSc)--Stellenbosch University, 2013.<br>ENGLISH ABSTRACT: We study Monte Carlo methods for pricing American options where the stock price dynamics follow exponential pure jump L évy models. Only stock price dynamics for a single underlying are considered. The thesis begins with a general introduction to American Monte Carlo methods. We then consider two classes of these methods. The fi rst class involves regression - we briefly consider the regression method of Tsitsiklis and Van Roy [2001] and analyse in detail the least squares Monte Carlo method of Longsta and Schwartz [2001].
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37

Cruz, José Manuel Teixeira Santos. "Integro-differential equations for option pricing in exponential Lévy models." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/6358.

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Mestrado em Matemática Financeira<br>This dissertation discusses under which conditions we can express the function that represents the option price as the solution of a certain partial integro-differential equation (PIDE) in a exponential Lévy model. The main difference between this case and the Black Scholes case is that there is a non-local term in the equation, which makes the analysis more complicated. Also, we discuss under which conditions we can obtain a Feynman-Kac formula for the case of a pure jump process and discuss the conditions under which option prices are classical solutions
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38

Nohrouzian, Hossein, and Anne Karlén. "Lattice Approximations for Black-Scholes type models in Option Pricing." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-23511.

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This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. Furthermore, the convergence of the binomial model to normal distribution, Geometric Brownian Motion and Black-Scholes model is discussed. Finally, the connections and interrelations between discrete random variables under the Lattice approach and continuous random variables under models which follow Geometric Brownian Motion are discussed, compared an
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39

Sun, Yu. "Analytically tractable stochastic volatility models in asset and option pricing." Doctoral thesis, Università Politecnica delle Marche, 2016. http://hdl.handle.net/11566/243100.

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Questa tesi si compone di quattro saggi sui modelli stocastici di volatilità in asset e option pricing. Più precisamente, questa tesi si concentra sul tasso di interesse stocastico e sui modelli di volatilità stocastica multiscala, con applicazioni in vari prodotti finanziari. Nel primo saggio viene presentato un modello ibrido Heston-CIR (HCIR) con un tasso di interesse stocastico. In questo saggio, sono state dedotte formule elementari esplicite per i momenti relativi alle distribuzioni dei prezzi delle azioni, nonché formule efficaci per approssimare i prezzi delle opzioni. Utilizzando i pr
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Pagliarani, Stefano. "Portfolio optimization and option pricing under defaultable Lévy driven models." Doctoral thesis, Università degli studi di Padova, 2014. http://hdl.handle.net/11577/3423519.

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In this thesis we study some portfolio optimization and option pricing problems in market models where the dynamics of one or more risky assets are driven by Lévy processes, and it is divided in four independent parts. In the first part we study the portfolio optimization problem, for the logarithmic terminal utility and the logarithmic consumption utility, in a multi-defaultable Lévy driven model. In the second part we introduce a novel technique to price European defaultable claims when the pre-defaultable dynamics of the underlying asset follows an exponential Lévy process. In the third
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41

Pindza, Edson. "Robust Spectral Methods for Solving Option Pricing Problems." University of the Western Cape, 2012. http://hdl.handle.net/11394/4092.

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Doctor Scientiae - DSc<br>Robust Spectral Methods for Solving Option Pricing Problems by Edson Pindza PhD thesis, Department of Mathematics and Applied Mathematics, Faculty of Natural Sciences, University of the Western Cape Ever since the invention of the classical Black-Scholes formula to price the financial derivatives, a number of mathematical models have been proposed by numerous researchers in this direction. Many of these models are in general very complex, thus closed form analytical solutions are rarely obtainable. In view of this, we present a class of efficient spectral met
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Song, Na, and 宋娜. "Mathematical models and numerical algorithms for option pricing and optimal trading." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B50662168.

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Research conducted in mathematical finance focuses on the quantitative modeling of financial markets. It allows one to solve financial problems by using mathematical methods and provides understanding and prediction of the complicated financial behaviors. In this thesis, efforts are devoted to derive and extend stochastic optimization models in financial economics and establish practical algorithms for representing and solving problems in mathematical finance. An option gives the holder the right, but not the obligation, to buy or sell an underlying asset at a specified strike price on or
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43

Dupoyet, Brice. "Performance of alternative currency option pricing models : a study of the Japanese yen /." Thesis, Connect to this title online; UW restricted, 2003. http://hdl.handle.net/1773/8728.

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44

Zhang, Xiang. "Essays on empirical performance of affine jump-diffusion option pricing models." Thesis, University of Oxford, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.552834.

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This thesis examines the empirical performance of option pricing models in the continuous- time affine jump-diffusion (AID) class. In models of this class, the underlying returns are governed by stochastic volatility diffusions and/or jumps and the dynamics of the whole system has affine dependence on the state variables. The thesis consists of three essays. The first essay calibrates a wide range of AID option pricing models to S&P 500 index options. The aim is to empirically identify how best to structure two types of risk components- stochastic volatility and jumps - within the framework of
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45

Yiu, Fan-lai, and 姚勳禮. "Applicability of various option pricing models in Hong Kong warrants market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3126590X.

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46

Ngwenza, Dumisani. "Quantifying Model Risk in Option Pricing and Value-at-Risk Models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31059.

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Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its underlying factors. This dissertation quantifies model risk inherent in Value-at-Risk (VaR) on a variety of portfolios comprised of European options written on the ALSI futures index across various maturities. The European options under consideration will be modelled using the Black-Scholes, Heston a
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47

Yiu, Fan-lai. "Applicability of various option pricing models in Hong Kong warrants market /." [Hong Kong : University of Hong Kong], 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13570493.

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48

Livieri, Giulia. "Stochastic models for financial time series: modelling, estimation and option pricing." Doctoral thesis, Scuola Normale Superiore, 2017. http://hdl.handle.net/11384/85728.

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Ou, Jitao. "A study of forecasting performance of alternative option pricing models on option return and market volatility." HKBU Institutional Repository, 2018. https://repository.hkbu.edu.hk/etd_oa/546.

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Abstract:
In this thesis, we investigate the forecasting problem for option return and future volatility in financial market. The first part of this thesis is to study the option return skewness effect and the negative correlation between asset return and volatility. We propose a measure of ex-ante measure of option return skewness which accommodates the negative return-volatility relationship in asset returns. We investigate how time-to-expiration and moneyness affect the skewness and return of an option. Furthermore, we show that our proposed measure has extra benefits in forecasting option returns. I
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Hu, Yu. "American Spread Option Models and Valuation." BYU ScholarsArchive, 2013. https://scholarsarchive.byu.edu/etd/3598.

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Spread options are derivative securities, which are written on the difference between the values of two underlying market variables. They are very important tools to hedge the correlation risk. American style spread options allow the holder to exercise the option at any time up to and including maturity. Although they are widely used to hedge and speculate in financial market, the valuation of the American spread option is very challenging. Because even under the classic assumptions that the underlying assets follow the log-normal distribution, the resulting spread doesn't have a distribution
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