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Dissertations / Theses on the topic 'Options (Finance) Australia Mathematical models'

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Published: 10 December 2022

Last updated: 31 July 2025

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1

Endekovski, Jessica. "Pricing multi-asset options in exponential levy models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31437.

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This dissertation looks at implementing exponential Levy models whereby the un- ´ derlyings are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance Gamma (VG) model and the multivariate normal inverse Gaussian (NIG) model. Both models are calibrated to real market data and then used to price basket options, where the underlyings are the constituents of the KBW Bank Index. Two pricing methods

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2

Glover, Elistan Nicholas. "Analytic pricing of American put options." Thesis, Rhodes University, 2009. http://hdl.handle.net/10962/d1002804.

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American options are the most commonly traded financial derivatives in the market. Pricing these options fairly, so as to avoid arbitrage, is of paramount importance. Closed form solutions for American put options cannot be utilised in practice and so numerical techniques are employed. This thesis looks at the work done by other researchers to find an analytic solution to the American put option pricing problem and suggests a practical method, that uses Monte Carlo simulation, to approximate the American put option price. The theory behind option pricing is first discussed using a discrete mod

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3

Dharmawan, Komang School of Mathematics UNSW. "Superreplication method for multi-asset barrier options." Awarded by:University of New South Wales. School of Mathematics, 2005. http://handle.unsw.edu.au/1959.4/30169.

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The aim of this thesis is to study multi-asset barrier options, where the volatilities of the stocks are assumed to define a matrix-valued bounded stochastic process. The bounds on volatilities may represent, for instance, the extreme values of the volatilities of traded options. As the volatilities are not known exactly, the value of the option can not be determined. Nevertheless, it is possible to calculate extreme values. We show that these values correspond to the best and the worst case scenarios of the future volatilities for short positions and long positions in the portfolio of the op

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4

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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5

Lee, Mou Chin. "An empirical test of variance gamma options pricing model on Hang Seng index options." HKBU Institutional Repository, 2000. http://repository.hkbu.edu.hk/etd_ra/263.

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6

Mimouni, Karim. "Three essays on volatility specification in option valuation." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103274.

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Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the empirical shortcomings of this model. In the first essay, we investigate alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources. We first use realized volatilities to assess the properti

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7

Zhao, Jing Ya. "Numerical methods for pricing Bermudan barrier options." Thesis, University of Macau, 2012. http://umaclib3.umac.mo/record=b2592939.

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8

Welihockyj, Alexander. "The cost of using misspecified models to exercise and hedge American options on coupon bearing bonds." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20532.

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This dissertation investigates the cost of using single-factor models to exercise and hedge American options on South African coupon bearing bonds, when the simulated market term structure is driven by a two-factor model. Even if the single factor models are re-calibrated on a daily basis to the term structure, we find that the exercise and hedge strategies can be suboptimal and incur large losses. There is a vast body of research suggesting that real market term structures are in actual fact driven by multiple factors, so suboptimal losses can be largely reduced by simply employing a well-spe

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9

蕭德權 and Tak-kuen Siu. "Risk measures in finance and insurance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31242297.

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10

Nhongo, Tawuya D. R. "Pricing exotic options using C++." Thesis, Rhodes University, 2007. http://hdl.handle.net/10962/d1008373.

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This document demonstrates the use of the C++ programming language as a simulation tool in the efficient pricing of exotic European options. Extensions to the basic problem of simulation pricing are undertaken including variance reduction by conditional expectation, control and antithetic variates. Ultimately we were able to produce a modularized, easily extend-able program which effectively makes use of Monte Carlo simulation techniques to price lookback, Asian and barrier exotic options. Theories of variance reduction were validated except in cases where we used control variates in combinati

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11

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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12

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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13

Powell, Robert. "Industry value at risk in Australia." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2007. https://ro.ecu.edu.au/theses/297.

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Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. Credit risk modelling has become increasingly important to banks since the advent of Basel 11 which allows banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks failing or experiencing severe difficulty. Conditional Value a

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14

Le, Truc. "Stochastic volatility models." Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.

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15

Chau, Irene. "An empirical comparison using both the term structure of interest rates and alternative models in pricing options on 90-day BAB futures." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 1999. https://ro.ecu.edu.au/theses/1207.

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The use of the term structure of interest rates to price options is relatively new in the literature. It describes the relationship between interest rates and the maturities of bonds. The first model that described the interest rate process was the Vasicek (1977) model. There have been many studies on the formulation of theoretical pricing models. Yet limited empirical research has been done in the area of actually testing the models. In this thesis we report the results of a set of tests of the models indicated below. This paper involves analysis of the pricing errors of the Black model ( 197

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16

Wang, Yintian 1976. "Three essays on volatility long memory and European option valuation." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102851.

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This dissertation is in the form of three essays on the topic of component and long memory GARCH models. The unifying feature of the thesis is the focus on investigating European index option evaluation using these models.<br>The first essay presents a new model for the valuation of European options. In this model, the volatility of returns consists of two components. One of these components is a long-run component that can be modeled as fully persistent. The other component is short-run and has zero mean. The model can be viewed as an affine version of Engle and Lee (1999), allowing for easy

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17

Weng, Zuo Qiu. "Pricing discretely monitored barrier options via a fast and accurate FFT-based method." Thesis, University of Macau, 2010. http://umaclib3.umac.mo/record=b2148272.

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18

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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19

Cheng, Xin. "Three essays on volatility forecasting." HKBU Institutional Repository, 2010. http://repository.hkbu.edu.hk/etd_ra/1183.

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20

Au, Chi Yan. "Numerical methods for solving Markov chain driven Black-Scholes model." HKBU Institutional Repository, 2010. http://repository.hkbu.edu.hk/etd_ra/1154.

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21

Chu, Kut-leung, and 朱吉樑. "The CEV model: estimation and optionpricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B4257500X.

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22

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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23

Liu, Xin. "Fast exponential time integration scheme and extrapolation method for pricing option with jump diffusions." Thesis, University of Macau, 2010. http://umaclib3.umac.mo/record=b2148264.

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24

高志強 and Chi-keung Anthony Ko. "A preliminary study of Hong Kong warrants using the Black-Scholesoption pricing model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1985. http://hub.hku.hk/bib/B31263227.

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25

Soucik, Victor. "Finding the true performance of Australian managed funds." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2002. https://ro.ecu.edu.au/theses/730.

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When making conclusions about the performance of managed funds, it is critical that the framework in which such performance is measured provides an accurate and unbiased environment. In this thesis I search for true performance of the two major classes of funds- equity as well as fixed interest managed funds. Focusing, first on the former class, I examine five measurement models across three risk-free proxies, nine benchmarks proposed by the extant literature (covering conditional and unconditional as well as single and multi factor definitions) and over three independent periods in an effort

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26

Lee, Tsz Ho. "High order compact scheme and its applications in computational finance." Thesis, University of Macau, 2010. http://umaclib3.umac.mo/record=b2148266.

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27

Chavanasporn, Walailuck. "Application of stochastic differential equations and real option theory in investment decision problems." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/1691.

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This thesis contains a discussion of four problems arising from the application of stochastic differential equations and real option theory to investment decision problems in a continuous-time framework. It is based on four papers written jointly with the author’s supervisor. In the first problem, we study an evolutionary stock market model in a continuous-time framework where uncertainty in dividends is produced by a single Wiener process. The model is an adaptation to a continuous-time framework of a discrete evolutionary stock market model developed by Evstigneev, Hens and Schenk-Hoppé (20

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28

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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29

Huang, Ning Ying. "Numerical methods for early-exercise option pricing via Fourier analysis." Thesis, University of Macau, 2010. http://umaclib3.umac.mo/record=b2148270.

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30

Lam, Yue-kwong, and 林宇光. "A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1996. http://hub.hku.hk/bib/B31267282.

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31

U, Sio Chong. "The applications of Fourier analysis to European option pricing." Thesis, University of Macau, 2009. http://umaclib3.umac.mo/record=b2148263.

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32

Mboussa, Anga Gael. "Calibration and Model Risk in the Pricing of Exotic Options Under Pure-Jump Lévy Dynamics." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/98030.

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Thesis (MSc)--Stellenbosch University, 2015<br>AFRIKAANSE OPSOMMING : Die groeiende belangstelling in kalibrering en modelrisiko is ’n redelik resente ontwikkeling in finansiële wiskunde. Hierdie proefskrif fokusseer op hierdie sake, veral in verband met die prysbepaling van vanielje-en eksotiese opsies, en vergelyk die prestasie van verskeie Lévy modelle. ’n Nuwe metode om modelrisiko te meet word ook voorgestel (hoofstuk 6). Ons kalibreer eers verskeie Lévy modelle aan die log-opbrengs van die S&P500 indeks. Statistiese toetse en grafieke voorstellings toon albei aan dat suiwer sprongm

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33

Yang, Wenling. "M-GARCH Hedge Ratios And Hedging Effectiveness In Australian Futures Markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2000. https://ro.ecu.edu.au/theses/1530.

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This study deals with the estimation of the optimal hedge ratios using various econometric models. Most of the recent papers have demonstrated that the conventional ordinary least squares (OLS) method of estimating constant hedge ratios is inappropriate, other more complicated models however seem to produce no more efficient hedge ratios. Using daily AOIs and SPI futures on the Australian market, optimal hedge ratios are calculated from four different models: the OLS regression model, the bivariate vector autoaggressive model (BVAR), the error-correction model (ECM) and the multivariate diagon

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34

Rich, Don R. "Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory." Diss., This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-06062008-171359/.

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35

Lee, Chi-ming Simon, and 李志明. "A study of Hong Kong foreign exchange warrants pricing using black-scholes formula." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1992. http://hub.hku.hk/bib/B3126542X.

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36

Lee, Jinpyo. "A method for distribution network design and models for option-contracting strategy with buyers' learning." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/29620.

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Thesis (Ph.D)--Industrial and Systems Engineering, Georgia Institute of Technology, 2009.<br>Committee Chair: Kleywegt, Anton J.; Committee Member: Ayhan, Hayriye; Committee Member: Dai, Jim; Committee Member: Erera, Alan; Committee Member: Ward, Amy R. Part of the SMARTech Electronic Thesis and Dissertation Collection.

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37

Ng, Man Yun. "Quasi-Monte Carlo methods and their applications in high dimensional option pricing." Thesis, University of Macau, 2011. http://umaclib3.umac.mo/record=b2493256.

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38

Diallo, Ibrahima. "Some topics in mathematical finance: Asian basket option pricing, Optimal investment strategies." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210165.

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This thesis presents the main results of my research in the field of computational finance and portfolios optimization. We focus on pricing Asian basket options and portfolio problems in the presence of inflation with stochastic interest rates.<p><p>In Chapter 2, we concentrate upon the derivation of bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework.We start from methods used for basket options and Asian options. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums of non-independent random variabl

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39

Cozma, Andrei. "Numerical methods for foreign exchange option pricing under hybrid stochastic and local volatility models." Thesis, University of Oxford, 2017. https://ora.ox.ac.uk/objects/uuid:44a27fbc-1b7a-4f1a-bd2d-abeb38bf1ff7.

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In this thesis, we study the FX option pricing problem and put forward a 4-factor hybrid stochastic-local volatility model. The model, which describes the dynamics of an exchange rate, its volatility and the domestic and foreign short rates, allows for a perfect calibration to European options and has a good hedging performance. Due to the high-dimensionality of the problem, we propose a Monte Carlo simulation scheme that combines the full truncation Euler scheme for the stochastic volatility component and the stochastic short rates with the log-Euler scheme for the exchange rate. We analyze e

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40

Li, Wen. "Numerical methods for the solution of the HJB equations arising in European and American option pricing with proportional transaction costs." University of Western Australia. School of Mathematics and Statistics, 2010. http://theses.library.uwa.edu.au/adt-WU2010.0098.

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This thesis is concerned with the investigation of numerical methods for the solution of the Hamilton-Jacobi-Bellman (HJB) equations arising in European and American option pricing with proportional transaction costs. We first consider the problem of computing reservation purchase and write prices of a European option in the model proposed by Davis, Panas and Zariphopoulou [19]. It has been shown [19] that computing the reservation purchase and write prices of a European option involves solving three different fully nonlinear HJB equations. In this thesis, we propose a penalty approach combine

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41

Wang, Wen-Kai. "Application of stochastic differential games and real option theory in environmental economics." Thesis, University of St Andrews, 2009. http://hdl.handle.net/10023/893.

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This thesis presents several problems based on papers written jointly by the author and Dr. Christian-Oliver Ewald. Firstly, the author extends the model presented by Fershtman and Nitzan (1991), which studies a deterministic differential public good game. Two types of volatility are considered. In the first case the volatility of the diffusion term is dependent on the current level of public good, while in the second case the volatility is dependent on the current rate of public good provision by the agents. The result in the latter case is qualitatively different from the first one. These re

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42

Calcraft, Peter James. "Two-pore channels and NAADP-dependent calcium signalling." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/888.

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43

"Dynamic options portfolio selection." 2003. http://library.cuhk.edu.hk/record=b5891531.

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Zhou Xiaozhou.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.<br>Includes bibliographical references (leaves 58-59).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Overview --- p.1<br>Chapter 1.2 --- Organization Outline --- p.4<br>Chapter 2 --- Literature Review --- p.5<br>Chapter 2.1 --- Option --- p.5<br>Chapter 2.1.1 --- The definition of option --- p.5<br>Chapter 2.1.2 --- Payoff of Options --- p.6<br>Chapter 2.1.3 --- Black-Scholes Option Pricing Model --- p.7<br>Chapter 2.1.4 --- Binomial Model --- p.12<br>Chapter 2.2

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44

"Fractional volatility models and malliavin calculus." 2004. http://library.cuhk.edu.hk/record=b5892022.

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Ng Chi-Tim.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 110-114).<br>Abstracts in English and Chinese.<br>Chapter Chapter 1 --- Introduction --- p.4<br>Chapter Chapter 2 --- Mathematical Background --- p.7<br>Chapter 2.1 --- Fractional Stochastic Integral --- p.8<br>Chapter 2.2 --- Wick's Calculus --- p.9<br>Chapter 2.3 --- Malliavin Calculus --- p.19<br>Chapter 2.4 --- Fractional Ito's Lemma --- p.27<br>Chapter Chapter 3 --- The Fractional Black Scholes Model --- p.34<br>Chapter 3.1 --- Fractional Geometric Brownian Motion

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45

"A study on options hedge against purchase cost fluctuation in supply contracts." 2008. http://library.cuhk.edu.hk/record=b5893550.

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He, Huifen.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.<br>Includes bibliographical references (leaves 44-48).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Motivation --- p.1<br>Chapter 1.2 --- Literature Review --- p.4<br>Chapter 1.2.1 --- Supply Contracts under Price Uncertainty --- p.5<br>Chapter 1.2.2 --- Dual Sourcing --- p.6<br>Chapter 1.2.3 --- Risk Aversion in Inventory Management --- p.6<br>Chapter 1.2.4 --- Hedging Operational Risk Using Financial Instruments --- p.7<br>Chapter 1.2.5 --- Financial Literature ---

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46

"American options pricing with mixed effects model." 2009. http://library.cuhk.edu.hk/record=b5894182.

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Ren, You.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2009.<br>Includes bibliographical references (leaves 48-51).<br>Abstract also in Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Background of Option Pricing Theory --- p.1<br>Chapter 1.2 --- American Option Pricing --- p.3<br>Chapter 1.3 --- Numerical Approximation of American Option Price --- p.8<br>Chapter 1.4 --- Statistical Issues --- p.12<br>Chapter 1.4.1 --- Empirical Calibration --- p.13<br>Chapter 2 --- Mixed Effects Model for American Option Prices --- p.16<br>Chapter 2.1 --- Model --- p.16<br>C

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47

"Trading in options: an in-depth analysis." 1999. http://library.cuhk.edu.hk/record=b5889494.

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by Fu Yiu-Hang.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1999.<br>Includes bibliographical references (leaves 66-67).<br>ABSTRACT --- p.ii<br>TABLE OF CONTENTS --- p.ii<br>LIST OF TABLES --- p.vi<br>LIST OF EXHIBITS --- p.vii<br>PREFACE --- p.viii<br>ACKNOWLEDGMENTS --- p.x<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>What is an Option? --- p.1<br>Options Market --- p.2<br>Uses of Options --- p.2<br>Value of Options --- p.3<br>Index Options --- p.4<br>Hang Seng Index Options --- p.4<br>Chapter II. --- BASIC PROPERTIES OF OPTIONS --- p.5<br>Assumptions --- p.

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48

"Quanto options under double exponential jump diffusion." 2007. http://library.cuhk.edu.hk/record=b5893201.

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Lau, Ka Yung.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2007.<br>Includes bibliographical references (leaves 78-79).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Background --- p.5<br>Chapter 2.1 --- Jump Diffusion Models --- p.6<br>Chapter 2.2 --- Double Exponential Jump Diffusion Model --- p.8<br>Chapter 3 --- Option Pricing with DEJD --- p.10<br>Chapter 3.1 --- Laplace Transform --- p.10<br>Chapter 3.2 --- European Option Pricing --- p.13<br>Chapter 3.3 --- Barrier Option Pricing --- p.14<br>Chapter 3.4 --- Lookback Options

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49

"The value of put option to the newsvendor." 2003. http://library.cuhk.edu.hk/record=b5896094.

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Guo, Min.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.<br>Includes bibliographical references (leaves 66-69).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Notation and Model --- p.8<br>Chapter 2.1 --- Notation --- p.9<br>Chapter 2.2 --- Classical News vendor Model --- p.11<br>Chapter 2.3 --- The Price of the Put Option --- p.12<br>Chapter 2.4 --- Extended Models with the Option --- p.13<br>Chapter 3 --- Literature Review --- p.16<br>Chapter 4 --- Objective I ´ؤ Maximizing Expected Profit --- p.24<br>Chapter 4.1 --- Single De

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50

"General diffusions: financial applications, analysis and extension." Thesis, 2010. http://library.cuhk.edu.hk/record=b6074923.

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General diffusion processes (GDP), or Ito's processes, are potential candidates for the modeling of asset prices, interest rates and other financial quantities to cope with empirical evidence. This thesis considers the applications of general diffusions in finance and potential extensions. In particular, we focus on financial problems involving (optimal) stopping times. A typical example is the valuation of American options. We investigate the use of Laplace-Carson transform (LCT) in valuing American options, and discuss its strengthen and weaknesses. Homotopy analysis from topology is then in

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