Page 1 |
Save page Remove page | Previous | 1 of 114 | Next |
|
small (250x250 max)
medium (500x500 max)
large ( > 500x500)
Full Resolution
All (PDF)
|
This page
All
Subset |
NEW RESULTS ON PRICING ASIAN OPTIONS
by
Xiufang Li
A Dissertation Presented to the
FACULTY OF THE GRADUATE SCHOOL
UNIVERSITY OF SOUTHERN CALIFORNIA
In Partial Ful¯llment of the
Requirements for the Degree
DOCTOR OF PHILOSOPHY
(APPLIED MATHEMATICS)
May 2007
Copyright 2007 Xiufang Li
Object Description
| Title | New results on pricing Asian options |
| Author | Li, Xiufang |
| Author email | xiufangl@usc.edu |
| Degree | Doctor of Philosophy |
| Document type | Dissertation |
| Degree program | Applied Mathematics |
| School | College of Letters, Arts and Sciences |
| Date defended/completed | 2007-01-25 |
| Restricted until | Unrestricted |
| Advisor (committee chair) | Lototsky, Sergey |
| Advisor (committee member) |
Zhang, Jianfeng Deng, Yongheng |
| Abstract | An Asian option is a path-dependent option whose payoff depends on the average price of the underlying asset during the life of the option. Asian options are very attractive to investors. However, the pricing of Asian options remains a challenge. The purpose of this dissertation is to develop efficient techniques for pricing Asian options and to expand the existing results on the pricing of Asian options in the classic Black-Scholes model.; In this dissertation, efficient binomial tree-based algorithms have been developed to price European-style Asian options and American-style geometric Asian options. By analyzing the asymptotic distribution of the arithmetic average price of the underlying asset, an explicit formula for pricing European-style arithmetic Asian options has been derived. A put-call parity formula for Asian options, a decomposition formula for American-style arithmetic Asian options and pricing formulas for both European- and American-style Asian options with zero volatility or with infinite expiration date have also been derived. Additionally, foreign equity Asian options, quanto Asian calls and currency Asian options are introduced and the pricing formulas presented in this dissertation have been applied to these options. |
| Keyword | Asian Options; binomial tree method; combinatorial method |
| Language | English |
| Part of collection | University of Southern California dissertations and theses |
| Publisher (of the original version) | University of Southern California |
| Place of publication (of the original version) | Los Angeles, California |
| Publisher (of the digital version) | University of Southern California. Libraries |
| Type | texts |
| Legacy record ID | usctheses-m301 |
| Rights | Li, Xiufang |
| Repository name | Libraries, University of Southern California |
| Repository address | Los Angeles, California |
| Repository email | http://www.usc.edu/isd/libraries/services/ask_a_librarian/email/ |
| Filename | etd-Li-20070228 |
| Archival file | uscthesesreloadpub_Volume44/etd-Li-20070228.pdf |
Description
| Title | Page 1 |
| Full text | NEW RESULTS ON PRICING ASIAN OPTIONS by Xiufang Li A Dissertation Presented to the FACULTY OF THE GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In Partial Ful¯llment of the Requirements for the Degree DOCTOR OF PHILOSOPHY (APPLIED MATHEMATICS) May 2007 Copyright 2007 Xiufang Li |
Comments
Post a Comment for Page 1
