Search for dissertations about: "lookback options"

Found 3 swedish dissertations containing the words lookback options.

  2. 1. Essays on Lookback and Barrier Options - A Malliavin Calculus Approach

    Author : Hans-Peter Bermin; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Girsanov transformations.; lookback options; Contingent claims; barrier options; hedging; pricing; arbitrage; complete markets; self-financing portfolios; Black-Scholes formula; Clark-Ocone formula; Malliavin calculus; Financial science; Finansiering;

    Abstract : This thesis consists of four theoretical essays on contingent claim analysis and its connection to Malliavin calculus. The first three papers are analyzed in the famous Black and Scholes model, while the setup of the fourth paper involves an international environment and the presence of exchange rates. READ MORE

  4. 2. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction

    Author : Georgios Foufas; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; finite element method; Galerkin; duality; a posteriori error estimation; adaptivity; option pricing; Greeks; Brownian motion; European option; barrier option; lookback option; Asian option; average option; POD; model reduction; balanced truncation; lookback option;

    Abstract : In this thesis we develop an adaptive finite element method for pricing of several path-dependent options including barrier options, lookback options, and Asian options. The options are priced using the Black-Scholes PDE-model, and the resulting PDE:s are of parabolic type in one spatial dimension with different boundary conditions and jump conditions at monitoring dates. READ MORE

  5. 3. On the Pricing of Path-Dependent Options and Related Problems

    Author : Per Hörfelt; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Scholes model. The thesis focuses mainly on the three different classes of path-dependent options: barrier, Asian, and lookback options. The thesis consists of eight chapters. READ MORE