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Student Number 87221002
Author Feng-Ming Ru(c)
Author's Email Address No Public.
Statistics This thesis had been viewed 1841 times. Download 775 times.
Department Mathematics
Year 2000
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title Incomplete market Asian options
Date of Defense 2001-07-09
Page Count 43
Keyword
  • asian option
  • Incomplete market
  • Markov process
  • Abstract In section one we obtain a close formula for the Asian option with one jump. In section two, we develope a
    relation between a second order differential equation and the Asian option with Poisson-jump. At last we also develope a formula of
    pricing the Asian option with multi-jump.
    Table of Content 0 Introduction...........................................0
    1 Asian option with one jump.............................4
    1-1 Dynamics of the underlying asset and pricing........4
    1-2 Application to Calls................................7
    1-3 Application to Puts................................26
    2 Asian option with multi-jump..........................28
    2-1 The Dynamic of the underlying asset and differ-
    ential equation...................................28
    2-2 Pricing............................................37
    3 Reference.............................................41
    Reference [1] de Hann,L. and Karandikar,R.L.:Embedding a stochastic difference equation into a continuous-time process. Stochastic Processes and their Applications.32
    [2] Exton,H., ed. :Multiple Hypergeometric Functions and Applications. Ellis Horwood Limited, 1976.
    [3] Exton,H., ed. :Handbook of Hypergeometric Integrals. Ellis Horwood Limited, 1978.
    [4] Kwok.Y.K.: Mathematical Models of Financial Derivatives.Springer-Verlag, 1998.
    [5] Lamberton,D. and Lapeyre,B.: Introduction to Stochastic Calculus Applied to Finance. Chapman and Hall, 1996.
    [6] Lebedev,N.N. :Special Functions and Their Applications.Dover Publications, 1972.
    [7] Merton,R.C. :Theory of rational option pricing. Bell Jornal of Economics and Management Sciences, vol.4,1973.
    pp.141-183.
    [8] Protter,P. :Stochastic Integration and Differential Equations. Springer-Verlag, Berlin Heidelberg, 1990.
    [9] Revuz,A. and Yor,M. :Continuous Martingales and Brownian Motion. Springer-Verlag, 1991.
    [10]
    Yor,M. :Some Aspects of Brownian Motion. Part I : Some Special Functionals.}Lectures in Mathematics. ETH Z"{u}rich,
    Birkh"{a}user, 1992.
    [11] Yor,M., ed.: Exponential functionals and pricipal values related to Brownian motion. Biblioteca de la Revista
    Matematica Ibero-Americana, 1997.
    [12] Yor,M. :Some Aspects of Brownian Motion. Part II : Some Recent Martingale Problems. Lectures in Mathematics. ETH Z"{u}rich, Birkh"{a}user, 1997.
    [13] Yor,M., ed.: On certain Markov processes attached to exponential functionals of Brownian motion ; application to Asian options. To appear in Revista Matematica Iberoamericana.(2001).
    Advisor
  • Ching-Sung Chou(PCQ)
  • Files
  • 87221002.pdf
  • approve immediately
    Date of Submission 2001-07-09

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