Use this URL to cite or link to this record in EThOS:
Title: Pricing and hedging exotic options in stochastic volatility models
Author: Chen, Zhanyu
Awarding Body: London School of Economics and Political Science (University of London)
Current Institution: London School of Economics and Political Science (University of London)
Date of Award: 2013
Availability of Full Text:
Access from EThOS:
Full text unavailable from EThOS. Please try the link below.
Access from Institution:
This thesis studies pricing and hedging barrier and other exotic options in continuous stochastic volatility models. Classical put-call symmetry relates the price of puts and calls under a suitable dual market transform. One well-known application is the semi-static hedging of path-dependent barrier options with European options. This, however, in its classical form requires the price process to observe rather stringent and unrealistic symmetry properties. In this thesis, we provide a general self-duality theorem to develop pricing and hedging schemes for barrier options in stochastic volatility models with correlation. A decomposition formula for pricing barrier options is then derived by Ito calculus which provides an alternative approach rather than solving a partial differential equation problem. Simulation on the performance is provided. In the last part of the thesis, via a version of the reflection principle by Desire Andre, originally proved for Brownian motion, we study its application to the pricing of exotic options in a stochastic volatility context.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: BC Logic