The valuation of turbo warrants under the CEV model
作者： Ana Margarida David Domingues
DOI:
关键词:
摘要: This thesis uses the Laplace transform of probability distributions minimum and maximum asset prices expected value terminal payoff a down-and-out option to derive closed-form solutions for lookback options turbo call warrants, under Constant Elasticity Variance (CEV) geometric Brownian motion (GBM) models. These require numerical computations invert transforms. The analytical proposed are implemented in Matlab Mathematica. We show that these contracts sensitive variations elasticity parameter β CEV model.
参考文章(35)
C. H. Hui, C. F. Lo, Valuing double barrier options with time-dependent parameters by Fourier series expansion ∗ Social Science Research Network. ,(2007)
Sérgio Miguel Abreu Ferreira, Barrier options under the cev diffusion ,(2009)
Robert C. Merton, Theory of rational option pricing ,(2011)
John C. Hull, Options, Futures, and Other Derivatives ,(1989)
John C. Cox, Stephen A. Ross, The valuation of options for alternative stochastic processes Journal of Financial Economics. ,vol. 3, pp. 145- 166 ,(1976) , 10.1016/0304-405X(76)90023-4
Simon Babbs, Binomial valuation of lookback options Journal of Economic Dynamics and Control. ,vol. 24, pp. 1499- 1525 ,(2000) , 10.1016/S0165-1889(99)00085-8
Paavo Salminen, Andrei N. Borodin, Handbook of Brownian Motion - Facts and Formulae ,(1996)
David C. Emanuel, James D. MacBeth, Further Results on the Constant Elasticity of Variance Call Option Pricing Model The Journal of Financial and Quantitative Analysis. ,vol. 17, pp. 533- 554 ,(1982) , 10.2307/2330906
Joseph Abate, Ward Whitt, Numerical Inversion of Laplace Transforms of Probability Distributions Informs Journal on Computing. ,vol. 7, pp. 36- 43 ,(1995) , 10.1287/IJOC.7.1.36
Antoon Pelsser, Pricing double barrier options using Laplace transforms Finance and Stochastics. ,vol. 4, pp. 95- 104 ,(2000) , 10.1007/S007800050005