BibTeX
@MISC{Liu96numericalpricing,
author = {Yidong Liu},
title = {Numerical Pricing of Path-Dependent Options},
year = {1996}
}
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Abstract
Option contracts have become increasingly important in the field of finance since they possess characteristics that are attractive to both speculators and hedgers. One important problem is determining the "fair value" of an option efficiently and accurately. In this thesis we first review basic option pricing theory and several popular numerical methods for option pricing. After discussing the analytic Black-Scholes formula for option prices, we focus on numerical methods for option pricing, including Monte Carlo methods, Tree methods and Finite Difference methods. The main result of this thesis is an extension of the Hull-White tree method for pricing Asian Options. The original Hull-White method is applicable to options in which the averaging period is taken from the beginning to the end of the life of the option. We relax this restriction to any a...
Keyphrases
path-dependent option numerical pricing option pricing analytic black-scholes formula numerical method finite difference method hull-white tree method fair value original hull-white method several popular numerical method basic option pricing theory tree method option price main result important problem monte carlo method option contract averaging period asian option
