Use this URL to cite or link to this record in EThOS: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.528731 |
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Title: | On pricing and hedging options and related first-passage time problems | ||||||
Author: | Jeannin, Marc Jean-Claude |
ISNI:
0000 0004 2695 7505
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Awarding Body: | Imperial College London | ||||||
Current Institution: | Imperial College London | ||||||
Date of Award: | 2011 | ||||||
Availability of Full Text: |
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Abstract: | |||||||
In the financial industry, a derivative is a contract whose value is derived from the value of the underlying asset price. The model of reference for the pricing of derivatives is the Black-Scholes model. This thesis examines the limitations of the Black-Scholes model and focuses on plausible alternative models in the equity markets. First, I investigate the effects of hedging strategies on the so-called pinning effect, which is the tendency of stock prices to close near the strike prices of heavily traded options as the expiration date nears. Then I concentrate on alternative stock price models that are more flexible and maintain a degree of analytical tractability for the pricing and hedging of barrier options. Based on the Weiner-Hopf factorisation, I develop some transform algorithms to derive semi-analytical expressions, in the case of barrier options, for first-passage-time probabilities, prices, and Greeks. The outcomes are compared to Monte-Carlo simulations, and I find that the proposed algorithms lead to faster, more accurate results.
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Supervisor: | Pistorius, Martijn ; Hughston, Lane | Sponsor: | Not available | ||||
Qualification Name: | Thesis (Ph.D.) | Qualification Level: | Doctoral | ||||
EThOS ID: | uk.bl.ethos.528731 | DOI: | |||||
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