An extensive exploration of three key quantitative approaches for pricing various financial derivatives

摘要: Options and other financial derivatives have become increasingly important in markets ever since Black Scholes (1973) proposed an analytical quantitative formula for valuing European options or similar of a fixed lifetime. However, how to rationally price option efficiently accurately is still one the major challenges today’s finance industry. This thesis contributes literature significantly by further exploring some approaches pricing various derivatives. Classified methods adopted derivatives, this consists three parts, with each part addressing key approach. Moreover, these parts are based on ten papers published submitted top-class international journals. The issue regarding numerically derivations, particularly, American puts, discussed Part 1, which contains Chapter 2, 3 4. In part, we first introduce new numerical scheme, ADI (alternating direction implicit) method, put under stochastic volatility model. Realizing fact that designed puts finite maturities usually low accuracy computational inefficiency when applied deal perpetual case, Legendre pseudospectral then introduced solve accurately. On hand, upon considering “convergency-proved” approach has never been valuation options, also introduce, IFE (inverse element) Black-Scholes Numerical results show quite accurate efficient, can be easily extended multi-asset