東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Topics in pricing American type fina...

Meng, Qiang.

Linked to FindBook

Google Book

Amazon

博客來

Topics in pricing American type financial contracts.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Topics in pricing American type financial contracts./
Author:	Meng, Qiang.
Description:	69 p.
Notes:	Adviser: Ananda Weerasinghe.
Contained By:	Dissertation Abstracts International68-07B.
Subject:	Economics, General. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3274849
ISBN:	9780549151142

Topics in pricing American type financial contracts.
Meng, Qiang.

Topics in pricing American type financial contracts. - 69 p.

Adviser: Ananda Weerasinghe.

Thesis (Ph.D.)--Iowa State University, 2007.

In this thesis we study three pricing problems related to American type financial contracts: firstly, we derive a closed form upper bound for American put options. This upper bound can be used in conjunction with traditional Monte Carlo simulation, which usually generates a lower bound, to obtain a better estimate for the option price; secondly, we solve an optimal control problem and derive an optimal strategy for the owner of a stock which is subject to default risk; thirdly, we prove an ordering result for American options with a piecewise linear payoff under a family of equivalent martingale measures used in stochastic volatility models.

ISBN: 9780549151142Subjects--Topical Terms:

1017424
Economics, General.

Topics in pricing American type financial contracts.
LDR:01509nam 2200277 a 45 001 942523
005 20110519
008 110519s2007 eng d
020 $a 9780549151142
035 $a (UMI)AAI3274849
035 $a AAI3274849
040 $a UMI $c UMI
100 1 $a Meng, Qiang. $3 1252738
245 1 0 $a Topics in pricing American type financial contracts.
300 $a 69 p.
500 $a Adviser: Ananda Weerasinghe.
500 $a Source: Dissertation Abstracts International, Volume: 68-07, Section: B, page: 4528.
502 $a Thesis (Ph.D.)--Iowa State University, 2007.
520 $a In this thesis we study three pricing problems related to American type financial contracts: firstly, we derive a closed form upper bound for American put options. This upper bound can be used in conjunction with traditional Monte Carlo simulation, which usually generates a lower bound, to obtain a better estimate for the option price; secondly, we solve an optimal control problem and derive an optimal strategy for the owner of a stock which is subject to default risk; thirdly, we prove an ordering result for American options with a piecewise linear payoff under a family of equivalent martingale measures used in stochastic volatility models.
590 $a School code: 0097.
650 4 $a Economics, General. $3 1017424
650 4 $a Mathematics. $3 515831
690 $a 0405
690 $a 0501
710 2 $a Iowa State University. $b Mathematics. $3 1266625
773 0 $t Dissertation Abstracts International $g 68-07B.
790 $a 0097
790 1 0 $a Weerasinghe, Ananda, $e advisor
791 $a Ph.D.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3274849