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On Stochastic Dominance Option Bound...

Rose, Eli.

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On Stochastic Dominance Option Bounds in Discrete and Continuous Space and Time with Stochastic and Deterministic Volatility and Pricing with Constant Relative Risk Aversion.

Record Type:	Electronic resources : Monograph/item
Title/Author:	On Stochastic Dominance Option Bounds in Discrete and Continuous Space and Time with Stochastic and Deterministic Volatility and Pricing with Constant Relative Risk Aversion./
Author:	Rose, Eli.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2020,
Description:	104 p.
Notes:	Source: Dissertations Abstracts International, Volume: 82-05, Section: B.
Contained By:	Dissertations Abstracts International82-05B.
Subject:	Theoretical mathematics. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28216173
ISBN:	9798678187543

On Stochastic Dominance Option Bounds in Discrete and Continuous Space and Time with Stochastic and Deterministic Volatility and Pricing with Constant Relative Risk Aversion.
Rose, Eli.

On Stochastic Dominance Option Bounds in Discrete and Continuous Space and Time with Stochastic and Deterministic Volatility and Pricing with Constant Relative Risk Aversion. - Ann Arbor : ProQuest Dissertations & Theses, 2020 - 104 p.

Source: Dissertations Abstracts International, Volume: 82-05, Section: B.

Thesis (Ph.D.)--Case Western Reserve University, 2020.

This item must not be sold to any third party vendors.

This thesis makes original contributions to the field of asset pricing, which is a field dedicated to describing the prices of financial instruments and their characteristics. The prices of these financial instruments are determined by the behavior of investors who buy and sell them, and so asset pricing is ultimately done by modeling the behavior of investors. One method for achieving this is through the framework of stochastic dominance. This thesis specifically deals with a specific class of financial instruments called European options and reviews the literature on stochastic dominance option pricing and discusses new methods for finding stochastic dominance bounds on options in both discrete and continuous time under both deterministic and stochastic volatility. The results presented here extends the works of Ritchken and Kuo (1988) and Perrakis and Ryan (1984). Furthermore, stochastic dominance bounds for Heston's (1993) stochastic volatility model are obtained under certain assumptions. Finally, this thesis extends the work of Carr and Madan (1999) and solves for the characteristic function of the call price given the physical characteristic function under the CRRA utility model.

ISBN: 9798678187543Subjects--Topical Terms:

3173530
Theoretical mathematics.
Subjects--Index Terms:

Asset pricing

On Stochastic Dominance Option Bounds in Discrete and Continuous Space and Time with Stochastic and Deterministic Volatility and Pricing with Constant Relative Risk Aversion.
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502 $a Thesis (Ph.D.)--Case Western Reserve University, 2020.
506 $a This item must not be sold to any third party vendors.
520 $a This thesis makes original contributions to the field of asset pricing, which is a field dedicated to describing the prices of financial instruments and their characteristics. The prices of these financial instruments are determined by the behavior of investors who buy and sell them, and so asset pricing is ultimately done by modeling the behavior of investors. One method for achieving this is through the framework of stochastic dominance. This thesis specifically deals with a specific class of financial instruments called European options and reviews the literature on stochastic dominance option pricing and discusses new methods for finding stochastic dominance bounds on options in both discrete and continuous time under both deterministic and stochastic volatility. The results presented here extends the works of Ritchken and Kuo (1988) and Perrakis and Ryan (1984). Furthermore, stochastic dominance bounds for Heston's (1993) stochastic volatility model are obtained under certain assumptions. Finally, this thesis extends the work of Carr and Madan (1999) and solves for the characteristic function of the call price given the physical characteristic function under the CRRA utility model.
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