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Dissertations / Theses on the topic 'Option Pricing'

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Published: 4 June 2021

Last updated: 25 July 2025

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1

Bieta, Volker, Udo Broll, and Wilfried Siebe. "Strategic option pricing." Technische Universität Dresden, 2020. https://tud.qucosa.de/id/qucosa%3A71719.

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In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset? The traditional answer is obtained with the help of a replicating portfolio by ruling out arbitrage. Instead a two-person game from the Nash equilibrium of which the option price can be derived is formulated. Consequently both the underlying asset’s price at expiration and the price of the option on this asset are endogenously determined. The option price derived this way turns out, however, to be identical to the classical

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2

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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3

Gu, Chenchen. "Option Pricing Using MATLAB." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/382.

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This paper describes methods for pricing European and American options. Monte Carlo simulation and control variates methods are employed to price call options. The binomial model is employed to price American put options. Using daily stock data I am able to compare the model price and market price and speculate as to the cause of difference. Lastly, I build a portfolio in an Interactive Brokers paper trading [1] account using the prices I calculate. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.

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4

Lau, Pak-man. "Option pricing : a survey /." [Hong Kong : University of Hong Kong], 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B14386057.

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5

Matsumoto, Manabu. "Options on portfolios of options and multivariate option pricing and hedging." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.324627.

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6

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'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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7

Compiani, Vera. "Particle methods in option pricing." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2017. http://amslaurea.unibo.it/13896/.

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Lo scopo di questa tesi è la calibrazione del modello di volatilità locale-stocastico (SLV) usando il metodo delle particelle. Il modello SLV riproduce il prezzo di un asset finanziario descritto da un processo stocastico. Il coefficiente di diffusione o volatilità del processo è costituito da una parte stocastica, la varianza, e da una parte locale chiamata funzione di leva che dipende dal processo stesso e che dà origine ad un'equazione differenziale alle derivate parziali (PDE) non lineare. La funzione di leva deve essere calibrata alla tipica curva che appare nella volatilità implicita dei

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8

Belova, Anna, and Tamara Shmidt. "Meshfree methods in option pricing." Thesis, Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16383.

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A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation with respect to time. By the next step, the option price is approximated in space with radial basis functions (RBF) with unknown parameters, in particular, we con- sider multiquadric radial basis functio

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9

Pour, Abdollah Farshchi Elham. "Option Pricing with Extreme Events." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-161963.

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10

Wiklund, Erik. "Asian Option Pricing and Volatility." Thesis, KTH, Matematisk statistik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-93714.

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Abstract An Asian option is a path-depending exotic option, which means that either the settlement price or the strike of the option is formed by some aggregation of underlying asset prices during the option lifetime. This thesis will focus on European style Arithmetic Asian options where the settlement price at maturity is formed by the arithmetic average price of the last seven days of the underlying asset. For this type of option it does not exist any closed form analytical formula for calculating the theoretical option value. There exist closed form approximation formulas for valuing thi

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11

Nisol, Gilles. "Option pricing with transaction costs." Thesis, KTH, Matematik (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102780.

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Portfolio optimization is an important field of research within financial engineering. The aim of the optimization is to fins what is the best strategy for an investor when choosing how to allocate their money between a bank account and a constant number of risky assets. In our problem, the investor must pay transaction costs, meaning that every time he transfers money, he loses a certain percentage of the money transferred. Thus, we have made the assumption of proportional transaction costs. In a frictionless market, Merton has proven that the optimal policy consists of a constant proportion

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12

Ross, David James. "Topics in American option pricing." Thesis, Imperial College London, 2004. http://hdl.handle.net/10044/1/8337.

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13

Panas, Vassilios Gerassimos. "Option pricing with transaction costs." Thesis, Imperial College London, 1993. http://hdl.handle.net/10044/1/7362.

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14

Chen, Miao. "Option pricing in incomplete markets." Thesis, University of Warwick, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.491472.

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The seminal paper of Black and Scholes (1973) led to the explosive growth of option pricing and hedging theory. However, the assumptions of the Black-Scholes model contradict reality. In the past three decades, a large volume ofresearch has been conducted on the problem of pricing and hedging contingent claims under more realistic assumptions. In particular, two streams of the . literature are directly related to this thesis. One is the development of stochastic volatility jump diffusion models and their option pricing formulas. The other is optimal hedging under market frictions. This thesis

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15

Jönsson, Ola. "Option pricing and Bayesian learning /." Lund: Univ., Dep. of Economics, 2007. http://www.gbv.de/dms/zbw/541563130.pdf.

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16

Guichard, Regis Stephane Hubert. "Two topics in option pricing." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312324.

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Whalley, A. E. "Option pricing with transaction costs." Thesis, University of Oxford, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.298265.

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18

Chen, Kan. "Approximate methods for option pricing." Thesis, University of Strathclyde, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.501648.

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As the important achievement of Mathematical Finance and the fundamental result of pricing theory, the Black & Scholes model and analysis have profound influence and have been studied by many people. However, some biases of BS fl formula can be observed in real financial markets. People attribute this behavior to the fact that some simple assumptions of the BS model such as constant volatility are violated in practice and do many works to find some ways to improve and generalize it. This thesis will focus on discussing three key factors of pricing theory to modify BS model: pricing models, pri

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19

Fei, Bingxin. "Computational Methods for Option Pricing." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/381.

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This paper aims to practice the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates. American put options are priced using the binomial model separately. Finally, we use the information to form a portfolio position using an Interactive Brokers paper trading account.

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20

Marques, Catarina Neto. "Option pricing under variable volatility." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14171.

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Mestrado em Mathematical Finance<br>A teoria de valorização de opções que conhecemos hoje em dia deu o seu maior passo quando Fischer Black e Myron Scholes escreveram um artigo com uma fórmula fechada que permitia calcular os preços de opções Europeias de compra e venda cujo subjacente é uma acção ou um índice. No entanto, evidências mostram que a fórmula anterior não funciona bem num grande número de situações reais: os preços estimados desviam-se significativamente dos preços de mercado. Isto deve-se às hipóteses, muito restritivas, em que o modelo está assente. Esta dissertação alarga o

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21

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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22

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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23

Stafford, D. (Daniel). "Machine learning in option pricing." Master's thesis, University of Oulu, 2019. http://urn.fi/URN:NBN:fi:oulu-201901091016.

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This paper gives an overview of the research that has been conducted regarding neural networks in option pricing. The paper also analyzes whether a deep neural network model has advantages over the Black-Scholes option pricing model in terms of pricing and hedging European-style call options on the S&P 500 stock index with data ranging from 1996 to 2014. While the previous literature has focused on shallow MLP-styled neural networks, this paper applies a deeper network structure of convolutional neural networks to the problem of pricing and hedging options. Convolutional neural networks are

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24

Dokuchaev, Mikhail. "Numerical Methods for Option Pricing." Thesis, Curtin University, 2021. http://hdl.handle.net/20.500.11937/86211.

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The thesis studies numerical method for solving partial differential equations arising in financial modelling. More precisely, the thesis is focused on methods of solutions of parabolic equations with state dependent coefficients describing the fair price for European options and American options with parameters that depend on the state price.

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25

Preo, Alice <1990&gt. "Option Pricing with Genetic Programming." Master's Degree Thesis, Università Ca' Foscari Venezia, 2015. http://hdl.handle.net/10579/5981.

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In the last decades, an increasing attention has been directed to the application of Genetic Programming. This approach has been adopted to a wide number of fields, reporting successful results also in finance domain as automated computational programming tool. Starting from the theoretical research in Genetic Programming, the aim of this work is to focus on the actual implementation of this methodology to the financial field, especially on the prediction of derivative securities behavior. The attention will be centered on the option pricing and empirical tests will be carried out on market da

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26

Larsson, Karl. "Pricing American Options using Simulation." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-51341.

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American options are financial contracts that allow exercise at any time until ex- piration. While the pricing of standard American option contracts has been well researched, with a few exceptions no analytical solutions exist. Valuation of more in- volved American option contracts, which include multiple underlying assets or path- dependent payoff, is still to a high degree an uncharted area. Most numerical methods work badly for such options as their time complexity scales exponentially with the number of dimensions. In this Master’s thesis we study valuation methods based on Monte Carlo sim

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27

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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28

D'Elia, Riccardo Giuseppe. "Deep Learning for American Option Pricing." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2019. http://amslaurea.unibo.it/19526/.

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American Option pricing efficiency is still on interesting topic in Computational Mathematichs and Finance. These types of derivatives offer great flexibility in all financial and trading markets due to the possibility of an early exercise. However, there is not any closed form analytical valuation of American option because of the optimal exercise problem created by the early exercise. This is the reason why the problem is faced by a numerical approximation. Per contra, traditional numerical methods suffer from the curse of dimensionality. The classical approaches yield good results for up t

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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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30

Sherwani, Yasir. "Binomial approximation methods for option pricing." Thesis, Uppsala University, Department of Mathematics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120639.

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31

Lei, Ngai Heng. "Martingale method in option pricing theory." Thesis, University of Macau, 2003. http://umaclib3.umac.mo/record=b1447303.

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32

Inkaya, Alper. "Option Pricing With Fractional Brownian Motion." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613736/index.pdf.

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Traditional financial modeling is based on semimartingale processes with stationary and independent increments. However, empirical investigations on financial data does not always support these assumptions. This contradiction showed that there is a need for new stochastic models. Fractional Brownian motion (fBm) was proposed as one of these models by Benoit Mandelbrot. FBm is the only continuous Gaussian process with dependent increments. Correlation between increments of a fBm changes according to its self-similarity parameter H. This property of fBm helps to capture the correlation dynamics

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Sheng, Gong. "Filtered historical simulation and option pricing." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-154743.

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34

Demin, Mikhail. "Finite Volume Methods for Option Pricing." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16397.

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35

Kazantzaki, Savina. "Aspects of exotic option pricing theory." Thesis, Imperial College London, 2006. http://hdl.handle.net/10044/1/11787.

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36

Jahandideh, Mohammad Taghi. "Option pricing for infinite variance data." Thesis, University of Ottawa (Canada), 2004. http://hdl.handle.net/10393/26665.

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Infinite variance distributions are among the competing models used to explain the non-normality of stock price changes (Mandelbrot, 1963; Fama, 1965; Mandelbrot and Taylor, 1967; Rachev and Samorodnitsky, 1993). We investigate the asymptotic option price formula in infinite variance setting for both independent and correlated data using point processes. As we shall see the application of point process models can also lead us to investigate a more general option price formula. We also apply a recursion technique to quantify various characteristics of the resulting formulas. It shows that such

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37

Cartea, A. I. G. "Option pricing with Levy-Stable processes." Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.270341.

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38

Nordström, Walter. "Adaptive tree techniques in option pricing." Thesis, KTH, Numerisk analys, NA, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-167979.

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When pricing american option with discrete cash dividends standard tree techniques are insufficient. J. W. Nieuwenhuis and M. H. Vellekoop have presented a new tree technique involving interpolation to solve the problem. At ORC it has been observed that when using an adaptive mesh to increase the resolution of the tree around the dividends the speed of convergence is improved n this paper we isolate the sources of errors in the tree model and explain why the adaptive mesh has a good effect. Using that knowledge we further improve the algorithm. We found that we could both improve the accuracy

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Shen, Liya. "Option pricing with the wavelet method." Thesis, University of Essex, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.437680.

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PEREIRA, MANOEL FRANCISCO DE SOUZA. "OPTION PRICING VIA NONPARAMETRIC ESSCHER TRANSFORM." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2011. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=19219@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>O apreçamento de opções é um dos temas mais importantes da economia financeira. Este estudo introduz uma versão não paramétrica da Transformada de Esscher para o apreçamento neutro ao risco de opções financeiras. Os tradicionais métodos paramétricos exigem a formulação de um modelo neutro ao risco explícito e são operacionalmente apenas para poucas funções densidade de probabilidade. Em nossa proposta, com simples suposições, evitamos a necessidade da formulação de um modelo neutro ao risco para os retornos. Primeiro, simulamos um

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Hao, Wenyan. "Quantum mechanics approach to option pricing." Thesis, University of Leicester, 2018. http://hdl.handle.net/2381/43020.

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Options are financial derivatives on an underlying security. The Schrodinger and Heisenberg approach to the quantum mechanics together with the Dirac matrix approaches are applied to derive the Black-Scholes formula and the quantum Cox- Rubinstein formula. The quantum mechanics approach to option pricing is based on the interpretation of the option price as the Schrodinger wave function of a certain quantum mechanics model determined by Hamiltonian H. We apply this approach to continuous time market models generated by Levy processes. In the discrete time formulization, we construct both self-

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Wang, Junxiong. "Option Pricing Using Monte Carlo Methods." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/331.

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This project is devoted primarily to the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates, and to the use of the binominal model to price American put options. At the end, we can use the information to form a portfolio position using an Interactive Brokers paper trading account. This project was done as a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.

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Lu, Mengliu. "Option Pricing Using Monte Carlo Methods." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/380.

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This paper aims to use Monte Carlo methods to price American call options on equities using the variance reduction technique of control variates and to price American put options using the binomial model. We use this information to form option positions. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.

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LUO, SHAN-MING, and 羅善明. "The Comparison of BS Option Pricing Model and GARCH Option Pricing Model in Index Options." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/58041960664220628803.

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碩士<br>國立臺北大學<br>統計學系<br>98<br>Options have been playing an important role in real financial market since the first option had traded. However, it is a major subject that how the rational price of options had been made. Black & Scholes (1973) set up the landmark of option pricing after they proposed the famous Black-Scholes option pricing model. In practice, one of the assumptions made in Black-Scholes (BS) option pricing model, namely volatility is a fixed constant, isn’t in accordance with the practices in real world. Scholars afterward try to release the assumption made by Black-Scholes and

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Yun, Wen Chen, and 陳韻文. "Pricing of Barrier Option ─ Using GARCH Option Pricing Model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/05072525095887761139.

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碩士<br>世新大學<br>財務金融學系<br>92<br>Warrant is a kind of option. The call warrant have been sold in Taiwan in 1997. We also trade stock option after January 1st.2003. Because of trading option, we can expect that exotic option will be an important product in the market of Taiwan. Generally speaking, the way to pricing option are Black-Scholes model and numerical analysis. There are many different kinds of numerical analysis. For example, there are Binomial model and Monte Carlo Simulation. This thesis will pricing up-barrier warrant by using the trinomial GARCH model which crea

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46

"Option pricing theory." Chinese University of Hong Kong, 1993. http://library.cuhk.edu.hk/record=b5887791.

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by Ka-kit Chan.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1993.<br>Includes bibliographical references (leaves 71-73).<br>Chapter I. --- Introduction to Stochastic Calculus --- p.1<br>Stochastic Processes --- p.2<br>Stochastic Integration --- p.6<br>Quadratic Variation Processes and Mutual Variation Process --- p.11<br>The Ito Formula --- p.13<br>Girsanov's Theorem --- p.16<br>Stochastic Differential Equations --- p.18<br>Chapter II. --- Pricing American Equity Options --- p.21<br>A Representation Formula for European Put Option --- p.22<br>The Free Boundary Formulation of

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Cheng, Tsun-Hung, and 鄭圳宏. "Deep Learning for Option Pricing Using TAIEX Options." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/ff87uk.

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碩士<br>國立臺北商業大學<br>財務金融系研究所<br>107<br>This paper explores the pricing of TAIEX put options with deep learning. We first choose the contracts which volume over 1000 lots to avoid the problem of liquidity, then convert call premiums with high strike price to those of put by using the put-call parity. Moreover, we use TAIEX future, historical volatility, and 30-days money market rate as underlying, volatility, and risk-free rate respectively. The inputs of deep learning include the underlying, strike price, volatility, time to maturity, and risk-free rate, as those in the Black-Scholes-Merton Fram

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Huang, Teng-Ching, and 黃騰進. "The Pricing Performance of Markov Chain Option Pricing Algorithm on Barrier Options." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/c4e6v4.

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碩士<br>銘傳大學<br>財務金融學系碩士班<br>93<br>In this study we adapt the numerical method of Markov chain option pricing algorithm to price barrier warrants in Taiwan and compare it with the method of Rubinstein and Reiner（1991）. In theory Markov chain is more accurate and flexible , and the empirical results show that Markov chain option pricing algorithm has lower pricing errors . Finally , by this study we also find that issuers will set a volatility markup when they issue warrants , and the volatility markup is around 15％~25％.

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Sun, Ya-ling, and 孫雅玲. "Pricing double barrier option." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/57516550309939540038.

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碩士<br>國立成功大學<br>數學系應用數學碩博士班<br>95<br>This study, a boundary element method is designed to deal with double touch barrier options with rebate. That is, a dobule touch barrier call is knocked out when the price reaches the upper or lower barreir before expiration day, but the seller have to pay rebate to buyer. In this thesis, first the pricing of option、barrier option and double barrier option are reviewed. The black-scholes model is converted to a heat equation boundary value problem. Then use a boundary element method to deal with the bounday value problem and solve the price of continuous d

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Yu, Shang-En, and 余尚恩. "Fuzzy Option Pricing Model." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/13974811463039935724.

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碩士<br>朝陽科技大學<br>財務金融系碩士班<br>90<br>Option is a tool that investors often use to arbitrage or hedge. However, either Black-Scholes model or CRR model can only provide a theoretical reference value. This paper applies fuzzy set to the CRR model. It is expected that the fuzzy volatility, instead of the crisp one as in conventional CRR model, can provide reasonable ranges and corresponding memberships of option prices. As a result, investors with various risk preferences can interpret the optimal differently.

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