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Title: Approximate methods for option pricing
Author: Chen, Kan
ISNI:       0000 0004 2673 7377
Awarding Body: The University of Strathclyde
Current Institution: University of Strathclyde
Date of Award: 2008
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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, pricing rules, and approximation methods.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available