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Topics in pricing American type fina...

Meng, Qiang.

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Topics in pricing American type financial contracts.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Topics in pricing American type financial contracts./
作者:	Meng, Qiang.
面頁冊數:	69 p.
附註:	Adviser: Ananda Weerasinghe.
Contained By:	Dissertation Abstracts International68-07B.
標題:	Economics, General. -
電子資源:	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.
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