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

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Published: 4 June 2021

Last updated: 25 January 2023

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1

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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2

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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3

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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4

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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5

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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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

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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8

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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9

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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10

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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11

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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12

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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13

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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14

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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15

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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16

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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17

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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18

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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19

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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20

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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21

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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22

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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23

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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24

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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25

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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26

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

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27

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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28

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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29

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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30

Blix, Magnus. "Essays in mathematical finance : modeling the futures price." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-534.

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This thesis consists of four papers dealing with the futures price process. In the first paper, we propose a two-factor futures volatility model designed for the US natural gas market, but applicable to any futures market where volatility decreases with maturity and varies with the seasons. A closed form analytical expression for European call options is derived within the model and used to calibrate the model to implied market volatilities. The result is used to price swaptions and calendar spread options on the futures curve. In the second paper, a financial market is specified where the und

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31

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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32

Yuen, Fei-lung, and 袁飛龍. "Pricing options and equity-indexed annuities in regime-switching models by trinomial tree method." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B45595616.

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33

Hao, Fangcheng, and 郝方程. "Options pricing and risk measures under regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B4714726X.

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34

Cheng, Lap-yan, and 鄭立仁. "Extension of price-trend models with applications in finance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B37428408.

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35

任尚智 and Sheung-chi Phillip Yam. "Algebraic methods on some problems in finance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B3122698X.

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36

Merino, Fernández Raúl. "Option Price Decomposition for Local and Stochastic Volatility Jump Diffusion Models." Doctoral thesis, Universitat de Barcelona, 2021. http://hdl.handle.net/10803/671682.

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In this thesis, an option price decomposition for local and stochastic volatility jump diffusion models is studied. On the one hand, we generalise and extend the Alòs decomposition to be used in a wide variety of models such as a general stochastic volatility model, a stochastic volatility jump dffusion model with finite activity or a rough volatility model. Furthermore, we note that in the case of local volatility models, speci_cally, spot-dependent models, a new decomposition formula must be used to obtain good numerical results. In particular, we study the CEV model. On the other hand, we

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37

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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38

Wei, Yong, and 卫勇. "The real effects of S&P 500 Index additions: evidence from corporate investment." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B4490681X.

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39

Arroyo, Jorge M. "Money and the dispersion of relative prices in the drug and apparel industries." Thesis, Georgia Institute of Technology, 2001. http://hdl.handle.net/1853/28574.

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40

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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41

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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42

Gleeson, Cameron Banking &amp Finance Australian School of Business UNSW. "Pricing and hedging S&P 500 index options : a comparison of affine jump diffusion models." Awarded by:University of New South Wales. School of Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/22379.

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This thesis examines the empirical performance of four Affine Jump Diffusion models in pricing and hedging S&P 500 Index options: the Black Scholes (BS) model, Heston???s Stochastic Volatility (SV) model, a Stochastic Volatility Price Jump (SVJ) model and a Stochastic Volatility Price-Volatility Jump (SVJJ) model. The SVJJ model structure allows for simultaneous jumps in price and volatility processes, with correlated jump size distributions. To the best of our knowledge this is the first empirical study to test the hedging performance of the SVJJ model. As part of our research we derive the S

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43

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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44

Ysusi, Mendoza Carla Mariana. "Estimation of the variation of prices using high-frequency financial data." Thesis, University of Oxford, 2005. http://ora.ox.ac.uk/objects/uuid:1b520271-2a63-428d-b5a0-e7e9c4afdc66.

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When high-frequency data is available, realised variance and realised absolute variation can be calculated from intra-day prices. In the context of a stochastic volatility model, realised variance and realised absolute variation can estimate the integrated variance and the integrated spot volatility respectively. A central limit theory enables us to do filtering and smoothing using model-based and model-free approaches in order to improve the precision of these estimators. When the log-price process involves a finite activity jump process, realised variance estimates the quadratic variation of

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45

Hoffmeyer, Allen Kyle. "Small-time asymptotics of call prices and implied volatilities for exponential Lévy models." Diss., Georgia Institute of Technology, 2015. http://hdl.handle.net/1853/53506.

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We derive at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a selection of exponential Lévy models, restricting our attention to asset-price models whose log returns structure is a Lévy process. We consider two main problems. First, we consider very general Lévy models that are in the domain of attraction of a stable random variable. Under some relatively minor assumptions, we give first-order at-the-money call-price and implied volatility asymptotics. In the case where our Lévy process has Brownian component, we discover new orders of convergence by

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46

Gong, Ruoting. "Small-time asymptotics and expansions of option prices under Levy-based models." Diss., Georgia Institute of Technology, 2012. http://hdl.handle.net/1853/44798.

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This thesis is concerned with the small-time asymptotics and expansions of call option prices, when the log-return processes of the underlying stock prices follow several Levy-based models. To be speciﬁc, we derive the time-to-maturity asymptotic behavior for both at-the-money (ATM), out-of-the-money (OTM) and in-the-money (ITM) call-option prices under several jump-diﬀusion models and stochastic volatility models with Levy jumps. In the OTM and ITM cases, we consider a general stochastic volatility model with independent Levy jumps, while in the ATM case, we consider the pure-jump CGMY model

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47

"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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48

"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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49

"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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50

"A numerical method for American option pricing under CEV model." 2007. http://library.cuhk.edu.hk/record=b5893177.

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Zhao Jing.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2007.<br>Includes bibliographical references (leaves 72-74).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- The Constant Elasticity of Variance Model --- p.6<br>Chapter 2.1 --- The CEV Assumption --- p.7<br>Chapter 2.2 --- Properties of the CEV Model --- p.9<br>Chapter 2.3 --- Empirical Evidence and Theoretical Support --- p.11<br>Chapter 3 --- Option Pricing under CEV --- p.14<br>Chapter 3.1 --- The Valuation of European Options --- p.14<br>Chapter 3.2 --- The Valuation of Amer

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