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Title: Game-theoretic approach to the pricing of the rainbow options
Author: Hucki, Zuzana
ISNI:       0000 0001 3583 4329
Awarding Body: Nottingham Trent University
Current Institution: Nottingham Trent University
Date of Award: 2005
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The general approach for the pricing of rainbow (or coloured) options with transaction costs is developed from the game theoretic point of view. The evolution of the underlying common stocks is considered in discrete time. The main result consists in the explicit calculation of the hedge price for a variety of the rainbow options including option delivering the best of J risky assets and cash, calls on the maximum of J risky assets and the multiple-strike options. The results obtained can be also used in the framework of real options. In Chapter 1 of this thesis we will present the main results on the hedging of rainbow option pricing using a game theoretic approach. We will also discuss the generalisations and applications of the formulas. The model established also was enlarged to include the transaction cost, American and European type options for the case of J-colour rainbow options. The formulae for the unpredictable surplus and American options are developed. Chapter 2 is devoted to an in-depth technical proof of the main theorems. Some of the auxiliary results proven are interesting as a separate result. They can be used in the game theory and optimisation theory. In Chapter 3 a numerical method is developed which can be used when there is a large number of stocks in a rainbow option. The computer software for numerical results was developed in program Visual Basic.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available