Pricing outside barrier options when the monitoring of the barrier starts at a hitting time

Autor:	Mofokeng, Jacob Moletsane
Jazyk:	angličtina
Rok vydání:	2015
Předmět:	Outside barrier option Reflection principle Girsanov's theorem Hitting time 519.22 Stochastic analysis Stochastic processes Portfolio management Mathematical models
Druh dokumentu:	Dissertation
Popis:	This dissertation studies the pricing of Outside barrier call options, when their activation starts at a hitting time. The pricing of Outside barrier options when their activation starts at time zero, and the pricing of standard barrier options when their activation starts at a hitting time of a pre speci ed barrier level, have been studied previously (see [21], [24]). The new work that this dissertation will do is to price Outside barrier call options, where they will be activated when the triggering asset crosses or hits a pre speci ed barrier level, and also the pricing of Outside barrier call options where they will be activated when the triggering asset crosses or hits a sequence of two pre specifed barrier levels. Closed form solutions are derived using Girsanov's theorem and the re ection principle. Existing results are derived from the new results, and properties of the new results are illustrated numerically and discussed. Mathematical Sciences M. Sc. (Applied Mathematics)
Databáze:	Networked Digital Library of Theses & Dissertations
Externí odkaz:	http://hdl.handle.net/10500/19730 Zobrazit plný text záznamu