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You searched for subject:(option pricing). Showing records 1 – 30 of 224 total matches.

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University of Alberta

1. Hu,Huiting. On Path-Dependent Option Pricing for the Heston Model.

Degree: MS, Department of Mathematical and Statistical Sciences, 2016, University of Alberta

 In this thesis, we are focusing on developing an efficient simulation algorithm to price the path-dependent options, which remains a challenging problem in derivatives finance.… (more)

Subjects/Keywords: Option Pricing; Heston Model; American Option

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Hu,Huiting. (2016). On Path-Dependent Option Pricing for the Heston Model. (Masters Thesis). University of Alberta. Retrieved from https://era.library.ualberta.ca/files/c7w62f8422

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Chicago Manual of Style (16th Edition):

Hu,Huiting. “On Path-Dependent Option Pricing for the Heston Model.” 2016. Masters Thesis, University of Alberta. Accessed December 14, 2019. https://era.library.ualberta.ca/files/c7w62f8422.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

MLA Handbook (7th Edition):

Hu,Huiting. “On Path-Dependent Option Pricing for the Heston Model.” 2016. Web. 14 Dec 2019.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Vancouver:

Hu,Huiting. On Path-Dependent Option Pricing for the Heston Model. [Internet] [Masters thesis]. University of Alberta; 2016. [cited 2019 Dec 14]. Available from: https://era.library.ualberta.ca/files/c7w62f8422.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Council of Science Editors:

Hu,Huiting. On Path-Dependent Option Pricing for the Heston Model. [Masters Thesis]. University of Alberta; 2016. Available from: https://era.library.ualberta.ca/files/c7w62f8422

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete


University of Waterloo

2. Akhavein Sohrabi, Mohammad Yousef. Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods).

Degree: 2011, University of Waterloo

 Although globally used in option pricing, the Black-Scholes model has not been able to reflect the evolution of stocks in the real world. A regime-switching… (more)

Subjects/Keywords: Option Pricing; Regime Switching

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APA (6th Edition):

Akhavein Sohrabi, M. Y. (2011). Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods). (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/5945

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Akhavein Sohrabi, Mohammad Yousef. “Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods).” 2011. Thesis, University of Waterloo. Accessed December 14, 2019. http://hdl.handle.net/10012/5945.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Akhavein Sohrabi, Mohammad Yousef. “Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods).” 2011. Web. 14 Dec 2019.

Vancouver:

Akhavein Sohrabi MY. Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods). [Internet] [Thesis]. University of Waterloo; 2011. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10012/5945.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Akhavein Sohrabi MY. Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods). [Thesis]. University of Waterloo; 2011. Available from: http://hdl.handle.net/10012/5945

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Georgia Tech

3. Kirkby, Justin L. Frame and Fourier methods for exotic option pricing and hedging.

Degree: PhD, Industrial and Systems Engineering, 2016, Georgia Tech

 Numerical option pricing has been revolutionized with the advent of fast transform methods. While lattice and Monte Carlo based approaches remain the most generally applicable,… (more)

Subjects/Keywords: Option pricing; Exotic options; Fourier transform; Frames; Riesz bases; B-splines; Asian option; Parisian option; European option; Barrier option; Lookback option; Static Hedging; Forward starting option; Bermudan option; American option

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APA (6th Edition):

Kirkby, J. L. (2016). Frame and Fourier methods for exotic option pricing and hedging. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/59138

Chicago Manual of Style (16th Edition):

Kirkby, Justin L. “Frame and Fourier methods for exotic option pricing and hedging.” 2016. Doctoral Dissertation, Georgia Tech. Accessed December 14, 2019. http://hdl.handle.net/1853/59138.

MLA Handbook (7th Edition):

Kirkby, Justin L. “Frame and Fourier methods for exotic option pricing and hedging.” 2016. Web. 14 Dec 2019.

Vancouver:

Kirkby JL. Frame and Fourier methods for exotic option pricing and hedging. [Internet] [Doctoral dissertation]. Georgia Tech; 2016. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/1853/59138.

Council of Science Editors:

Kirkby JL. Frame and Fourier methods for exotic option pricing and hedging. [Doctoral Dissertation]. Georgia Tech; 2016. Available from: http://hdl.handle.net/1853/59138


Temple University

4. Gong, Hui. Modeling Volatility in Option Pricing with Applications.

Degree: PhD, 2010, Temple University

Statistics

The focus of this dissertation is modeling volatility in option pricing by the Black-Scholes formula. A major drawback of the formula is that the… (more)

Subjects/Keywords: Statistics; Modeling Volatility; Option Pricing; Recursive Estimate

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APA (6th Edition):

Gong, H. (2010). Modeling Volatility in Option Pricing with Applications. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,92363

Chicago Manual of Style (16th Edition):

Gong, Hui. “Modeling Volatility in Option Pricing with Applications.” 2010. Doctoral Dissertation, Temple University. Accessed December 14, 2019. http://digital.library.temple.edu/u?/p245801coll10,92363.

MLA Handbook (7th Edition):

Gong, Hui. “Modeling Volatility in Option Pricing with Applications.” 2010. Web. 14 Dec 2019.

Vancouver:

Gong H. Modeling Volatility in Option Pricing with Applications. [Internet] [Doctoral dissertation]. Temple University; 2010. [cited 2019 Dec 14]. Available from: http://digital.library.temple.edu/u?/p245801coll10,92363.

Council of Science Editors:

Gong H. Modeling Volatility in Option Pricing with Applications. [Doctoral Dissertation]. Temple University; 2010. Available from: http://digital.library.temple.edu/u?/p245801coll10,92363


Penn State University

5. Wei, Mingcheng. CONGESTION PRICING AND CONGESTION SECURITY.

Degree: MS, Industrial Engineering, 2009, Penn State University

 Historically, congestion pricing is considered as an efficient pricing mechanism to decrease total social cost by eliminating rush hour congestion. However, in order to eliminate… (more)

Subjects/Keywords: bottleneck model; congestion option; Congestion pricing

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APA (6th Edition):

Wei, M. (2009). CONGESTION PRICING AND CONGESTION SECURITY. (Masters Thesis). Penn State University. Retrieved from https://etda.libraries.psu.edu/catalog/9866

Chicago Manual of Style (16th Edition):

Wei, Mingcheng. “CONGESTION PRICING AND CONGESTION SECURITY.” 2009. Masters Thesis, Penn State University. Accessed December 14, 2019. https://etda.libraries.psu.edu/catalog/9866.

MLA Handbook (7th Edition):

Wei, Mingcheng. “CONGESTION PRICING AND CONGESTION SECURITY.” 2009. Web. 14 Dec 2019.

Vancouver:

Wei M. CONGESTION PRICING AND CONGESTION SECURITY. [Internet] [Masters thesis]. Penn State University; 2009. [cited 2019 Dec 14]. Available from: https://etda.libraries.psu.edu/catalog/9866.

Council of Science Editors:

Wei M. CONGESTION PRICING AND CONGESTION SECURITY. [Masters Thesis]. Penn State University; 2009. Available from: https://etda.libraries.psu.edu/catalog/9866


Delft University of Technology

6. Schols, E. Radial basis functions for option pricing in insurance liabilities:.

Degree: 2016, Delft University of Technology

 This thesis discusses the valuation of embedded options in insurance liabilities using radial basis functions. For insurance companies, the valuation of embedded options is an… (more)

Subjects/Keywords: numerical; interpolation; radial basis function; option pricing

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APA (6th Edition):

Schols, E. (2016). Radial basis functions for option pricing in insurance liabilities:. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:6dcc68c9-f9f1-4449-8c69-f3b0af263cc4

Chicago Manual of Style (16th Edition):

Schols, E. “Radial basis functions for option pricing in insurance liabilities:.” 2016. Masters Thesis, Delft University of Technology. Accessed December 14, 2019. http://resolver.tudelft.nl/uuid:6dcc68c9-f9f1-4449-8c69-f3b0af263cc4.

MLA Handbook (7th Edition):

Schols, E. “Radial basis functions for option pricing in insurance liabilities:.” 2016. Web. 14 Dec 2019.

Vancouver:

Schols E. Radial basis functions for option pricing in insurance liabilities:. [Internet] [Masters thesis]. Delft University of Technology; 2016. [cited 2019 Dec 14]. Available from: http://resolver.tudelft.nl/uuid:6dcc68c9-f9f1-4449-8c69-f3b0af263cc4.

Council of Science Editors:

Schols E. Radial basis functions for option pricing in insurance liabilities:. [Masters Thesis]. Delft University of Technology; 2016. Available from: http://resolver.tudelft.nl/uuid:6dcc68c9-f9f1-4449-8c69-f3b0af263cc4


Rochester Institute of Technology

7. Yang, Yuan. Valuing a European option with the Heston model.

Degree: School of Mathematical Sciences (COS), 2013, Rochester Institute of Technology

 In spite of the Black-Scholes (BS) equation being widely used to price options, this method is based on a hypothesis that the volatility of the… (more)

Subjects/Keywords: Heston model; Option pricing; Stochastic volatility model

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APA (6th Edition):

Yang, Y. (2013). Valuing a European option with the Heston model. (Thesis). Rochester Institute of Technology. Retrieved from https://scholarworks.rit.edu/theses/4809

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Yang, Yuan. “Valuing a European option with the Heston model.” 2013. Thesis, Rochester Institute of Technology. Accessed December 14, 2019. https://scholarworks.rit.edu/theses/4809.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Yang, Yuan. “Valuing a European option with the Heston model.” 2013. Web. 14 Dec 2019.

Vancouver:

Yang Y. Valuing a European option with the Heston model. [Internet] [Thesis]. Rochester Institute of Technology; 2013. [cited 2019 Dec 14]. Available from: https://scholarworks.rit.edu/theses/4809.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yang Y. Valuing a European option with the Heston model. [Thesis]. Rochester Institute of Technology; 2013. Available from: https://scholarworks.rit.edu/theses/4809

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of New South Wales

8. Zhang, Mengzhe. Pricing Financial Derivatives Under the Regime-Switching Models.

Degree: Mathematics & Statistics, 2017, University of New South Wales

 While several empirical studies find evidence for the existence of regime-switching (RS) effect on stock/future prices, see Vo (2009), Chan (2009), and Ang and Timmermann… (more)

Subjects/Keywords: regime-switching model; option pricing; saddlepoint approximation

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APA (6th Edition):

Zhang, M. (2017). Pricing Financial Derivatives Under the Regime-Switching Models. (Doctoral Dissertation). University of New South Wales. Retrieved from http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true

Chicago Manual of Style (16th Edition):

Zhang, Mengzhe. “Pricing Financial Derivatives Under the Regime-Switching Models.” 2017. Doctoral Dissertation, University of New South Wales. Accessed December 14, 2019. http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true.

MLA Handbook (7th Edition):

Zhang, Mengzhe. “Pricing Financial Derivatives Under the Regime-Switching Models.” 2017. Web. 14 Dec 2019.

Vancouver:

Zhang M. Pricing Financial Derivatives Under the Regime-Switching Models. [Internet] [Doctoral dissertation]. University of New South Wales; 2017. [cited 2019 Dec 14]. Available from: http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true.

Council of Science Editors:

Zhang M. Pricing Financial Derivatives Under the Regime-Switching Models. [Doctoral Dissertation]. University of New South Wales; 2017. Available from: http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true


University of Bath

9. Hu, Qi. Machine learning and forward looking information in option prices.

Degree: PhD, 2018, University of Bath

 The use of forward-looking information from option prices attracted a lot of attention after the 2008 financial crisis, which highlighting the difficulty of using historical… (more)

Subjects/Keywords: Machine Learning; option pricing; risk neutral density

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APA (6th Edition):

Hu, Q. (2018). Machine learning and forward looking information in option prices. (Doctoral Dissertation). University of Bath. Retrieved from https://researchportal.bath.ac.uk/en/studentthesis/machine-learning-and-forward-looking-information-in-option-prices(a4608fe7-ebbb-41cf-ae68-d8e7b7bdb8b9).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.767565

Chicago Manual of Style (16th Edition):

Hu, Qi. “Machine learning and forward looking information in option prices.” 2018. Doctoral Dissertation, University of Bath. Accessed December 14, 2019. https://researchportal.bath.ac.uk/en/studentthesis/machine-learning-and-forward-looking-information-in-option-prices(a4608fe7-ebbb-41cf-ae68-d8e7b7bdb8b9).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.767565.

MLA Handbook (7th Edition):

Hu, Qi. “Machine learning and forward looking information in option prices.” 2018. Web. 14 Dec 2019.

Vancouver:

Hu Q. Machine learning and forward looking information in option prices. [Internet] [Doctoral dissertation]. University of Bath; 2018. [cited 2019 Dec 14]. Available from: https://researchportal.bath.ac.uk/en/studentthesis/machine-learning-and-forward-looking-information-in-option-prices(a4608fe7-ebbb-41cf-ae68-d8e7b7bdb8b9).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.767565.

Council of Science Editors:

Hu Q. Machine learning and forward looking information in option prices. [Doctoral Dissertation]. University of Bath; 2018. Available from: https://researchportal.bath.ac.uk/en/studentthesis/machine-learning-and-forward-looking-information-in-option-prices(a4608fe7-ebbb-41cf-ae68-d8e7b7bdb8b9).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.767565


Brigham Young University

10. Chen, Sijin. Asian Spread Option Pricing Models and Computation.

Degree: PhD, 2010, Brigham Young University

  In the commodity and energy markets, there are two kinds of risk that traders and analysts are concerned a lot about: multiple underlying risk… (more)

Subjects/Keywords: Asian spread option; Asian-European spread option; option pricing; stochastic volatility model; affine structure; Mathematics

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APA (6th Edition):

Chen, S. (2010). Asian Spread Option Pricing Models and Computation. (Doctoral Dissertation). Brigham Young University. Retrieved from https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=3368&context=etd

Chicago Manual of Style (16th Edition):

Chen, Sijin. “Asian Spread Option Pricing Models and Computation.” 2010. Doctoral Dissertation, Brigham Young University. Accessed December 14, 2019. https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=3368&context=etd.

MLA Handbook (7th Edition):

Chen, Sijin. “Asian Spread Option Pricing Models and Computation.” 2010. Web. 14 Dec 2019.

Vancouver:

Chen S. Asian Spread Option Pricing Models and Computation. [Internet] [Doctoral dissertation]. Brigham Young University; 2010. [cited 2019 Dec 14]. Available from: https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=3368&context=etd.

Council of Science Editors:

Chen S. Asian Spread Option Pricing Models and Computation. [Doctoral Dissertation]. Brigham Young University; 2010. Available from: https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=3368&context=etd


University of Manitoba

11. Singh, Gobind Preet. Pricing Financial Option as a Multi-Objective Optimization Problem Using Firefly Algorithms.

Degree: Computer Science, 2016, University of Manitoba

 An option, a type of a financial derivative, is a contract that creates an opportunity for a market player to avoid risks involved in investing,… (more)

Subjects/Keywords: Option Pricing; Multi-Objective Optimization; Firefly Algorithm; American Option; European option; Pareto front

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APA (6th Edition):

Singh, G. P. (2016). Pricing Financial Option as a Multi-Objective Optimization Problem Using Firefly Algorithms. (Masters Thesis). University of Manitoba. Retrieved from http://hdl.handle.net/1993/31618

Chicago Manual of Style (16th Edition):

Singh, Gobind Preet. “Pricing Financial Option as a Multi-Objective Optimization Problem Using Firefly Algorithms.” 2016. Masters Thesis, University of Manitoba. Accessed December 14, 2019. http://hdl.handle.net/1993/31618.

MLA Handbook (7th Edition):

Singh, Gobind Preet. “Pricing Financial Option as a Multi-Objective Optimization Problem Using Firefly Algorithms.” 2016. Web. 14 Dec 2019.

Vancouver:

Singh GP. Pricing Financial Option as a Multi-Objective Optimization Problem Using Firefly Algorithms. [Internet] [Masters thesis]. University of Manitoba; 2016. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/1993/31618.

Council of Science Editors:

Singh GP. Pricing Financial Option as a Multi-Objective Optimization Problem Using Firefly Algorithms. [Masters Thesis]. University of Manitoba; 2016. Available from: http://hdl.handle.net/1993/31618


Queensland University of Technology

12. Yang, Qianqian. An empirical study of implied volatility in Australian index option markets.

Degree: 2006, Queensland University of Technology

 With the rapid development of option markets throughout the world, option pricing has become an important field in financial engineering. Among a variety of option(more)

Subjects/Keywords: option markets; option pricing; volatility

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APA (6th Edition):

Yang, Q. (2006). An empirical study of implied volatility in Australian index option markets. (Thesis). Queensland University of Technology. Retrieved from https://eprints.qut.edu.au/16325/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Yang, Qianqian. “An empirical study of implied volatility in Australian index option markets.” 2006. Thesis, Queensland University of Technology. Accessed December 14, 2019. https://eprints.qut.edu.au/16325/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Yang, Qianqian. “An empirical study of implied volatility in Australian index option markets.” 2006. Web. 14 Dec 2019.

Vancouver:

Yang Q. An empirical study of implied volatility in Australian index option markets. [Internet] [Thesis]. Queensland University of Technology; 2006. [cited 2019 Dec 14]. Available from: https://eprints.qut.edu.au/16325/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yang Q. An empirical study of implied volatility in Australian index option markets. [Thesis]. Queensland University of Technology; 2006. Available from: https://eprints.qut.edu.au/16325/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Pretoria

13. Bambe Moutsinga, Claude Rodrigue. Transform analysis of affine jump diffusion processes with applications to asset pricing.

Degree: Mathematics and Applied Mathematics, 2008, University of Pretoria

 This work presents a class of models in asset pricing, whose underlying has dynamics of Affine jump diffusion type. We first present L´evy processes with… (more)

Subjects/Keywords: Asset pricing; Financial instrument; Affine jump diffusion; Option pricing; UCTD

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APA (6th Edition):

Bambe Moutsinga, C. (2008). Transform analysis of affine jump diffusion processes with applications to asset pricing. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/25445

Chicago Manual of Style (16th Edition):

Bambe Moutsinga, Claude. “Transform analysis of affine jump diffusion processes with applications to asset pricing.” 2008. Masters Thesis, University of Pretoria. Accessed December 14, 2019. http://hdl.handle.net/2263/25445.

MLA Handbook (7th Edition):

Bambe Moutsinga, Claude. “Transform analysis of affine jump diffusion processes with applications to asset pricing.” 2008. Web. 14 Dec 2019.

Vancouver:

Bambe Moutsinga C. Transform analysis of affine jump diffusion processes with applications to asset pricing. [Internet] [Masters thesis]. University of Pretoria; 2008. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/2263/25445.

Council of Science Editors:

Bambe Moutsinga C. Transform analysis of affine jump diffusion processes with applications to asset pricing. [Masters Thesis]. University of Pretoria; 2008. Available from: http://hdl.handle.net/2263/25445


The Ohio State University

14. Lee, Seung Hwan. Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models.

Degree: PhD, Economics, 2008, The Ohio State University

  This dissertation develops two new parametric and nonparametric methods for estimating risk-neutral measures (RNM) which embody important information about market participants’ sentiments concerning prices… (more)

Subjects/Keywords: Economics; Risk Neutral Measure; Option Pricing; Pricing Kernel; B-Spline

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APA (6th Edition):

Lee, S. H. (2008). Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1210724615

Chicago Manual of Style (16th Edition):

Lee, Seung Hwan. “Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models.” 2008. Doctoral Dissertation, The Ohio State University. Accessed December 14, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1210724615.

MLA Handbook (7th Edition):

Lee, Seung Hwan. “Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models.” 2008. Web. 14 Dec 2019.

Vancouver:

Lee SH. Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models. [Internet] [Doctoral dissertation]. The Ohio State University; 2008. [cited 2019 Dec 14]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1210724615.

Council of Science Editors:

Lee SH. Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models. [Doctoral Dissertation]. The Ohio State University; 2008. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1210724615


University of Pretoria

15. [No author]. Transform analysis of affine jump diffusion processes with applications to asset pricing .

Degree: 2008, University of Pretoria

 This work presents a class of models in asset pricing, whose underlying has dynamics of Affine jump diffusion type. We first present L´evy processes with… (more)

Subjects/Keywords: Asset pricing; Financial instrument; Affine jump diffusion; Option pricing; UCTD

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APA (6th Edition):

author], [. (2008). Transform analysis of affine jump diffusion processes with applications to asset pricing . (Masters Thesis). University of Pretoria. Retrieved from http://upetd.up.ac.za/thesis/available/etd-06112008-162807/

Chicago Manual of Style (16th Edition):

author], [No. “Transform analysis of affine jump diffusion processes with applications to asset pricing .” 2008. Masters Thesis, University of Pretoria. Accessed December 14, 2019. http://upetd.up.ac.za/thesis/available/etd-06112008-162807/.

MLA Handbook (7th Edition):

author], [No. “Transform analysis of affine jump diffusion processes with applications to asset pricing .” 2008. Web. 14 Dec 2019.

Vancouver:

author] [. Transform analysis of affine jump diffusion processes with applications to asset pricing . [Internet] [Masters thesis]. University of Pretoria; 2008. [cited 2019 Dec 14]. Available from: http://upetd.up.ac.za/thesis/available/etd-06112008-162807/.

Council of Science Editors:

author] [. Transform analysis of affine jump diffusion processes with applications to asset pricing . [Masters Thesis]. University of Pretoria; 2008. Available from: http://upetd.up.ac.za/thesis/available/etd-06112008-162807/


University of Toronto

16. Zhang, Biyun. Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time.

Degree: 2015, University of Toronto

The municipal water and wastewater sector is considered to be one of the most capital intensive industrial sectors. Optimization methods that reduce both capital and… (more)

Subjects/Keywords: Bermudan Option; Capital Budgeting; Modular Expansion; Option Pricing; Real Options; Wastewater Treatment Plant; 0546

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Zhang, B. (2015). Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time. (Masters Thesis). University of Toronto. Retrieved from http://hdl.handle.net/1807/69721

Chicago Manual of Style (16th Edition):

Zhang, Biyun. “Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time.” 2015. Masters Thesis, University of Toronto. Accessed December 14, 2019. http://hdl.handle.net/1807/69721.

MLA Handbook (7th Edition):

Zhang, Biyun. “Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time.” 2015. Web. 14 Dec 2019.

Vancouver:

Zhang B. Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time. [Internet] [Masters thesis]. University of Toronto; 2015. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/1807/69721.

Council of Science Editors:

Zhang B. Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time. [Masters Thesis]. University of Toronto; 2015. Available from: http://hdl.handle.net/1807/69721


Wilfrid Laurier University

17. Sui, Yaode. Analysis of CLMR trees for European and Asian option pricing under regime-switching jump-diffusion models.

Degree: 2019, Wilfrid Laurier University

 In this paper, we study the convergence rates of the multinomial trees constructed by [Costabile, Leccadito, Massabo and Russo, Journal of Computational and Applied Mathematics,… (more)

Subjects/Keywords: Option pricing; Regime-switching jump-diffusion model; Multinomial tree; Asian option; Numerical Analysis and Computation

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APA (6th Edition):

Sui, Y. (2019). Analysis of CLMR trees for European and Asian option pricing under regime-switching jump-diffusion models. (Thesis). Wilfrid Laurier University. Retrieved from https://scholars.wlu.ca/etd/2218

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Sui, Yaode. “Analysis of CLMR trees for European and Asian option pricing under regime-switching jump-diffusion models.” 2019. Thesis, Wilfrid Laurier University. Accessed December 14, 2019. https://scholars.wlu.ca/etd/2218.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Sui, Yaode. “Analysis of CLMR trees for European and Asian option pricing under regime-switching jump-diffusion models.” 2019. Web. 14 Dec 2019.

Vancouver:

Sui Y. Analysis of CLMR trees for European and Asian option pricing under regime-switching jump-diffusion models. [Internet] [Thesis]. Wilfrid Laurier University; 2019. [cited 2019 Dec 14]. Available from: https://scholars.wlu.ca/etd/2218.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sui Y. Analysis of CLMR trees for European and Asian option pricing under regime-switching jump-diffusion models. [Thesis]. Wilfrid Laurier University; 2019. Available from: https://scholars.wlu.ca/etd/2218

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

18. Chechelnytska, Kateryna. Volatility Curves of Incomplete Markets .

Degree: Chalmers tekniska högskola / Institutionen för matematiska vetenskaper, 2019, Chalmers University of Technology

 The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were… (more)

Subjects/Keywords: Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Chechelnytska, K. (2019). Volatility Curves of Incomplete Markets . (Thesis). Chalmers University of Technology. Retrieved from http://hdl.handle.net/20.500.12380/300552

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chechelnytska, Kateryna. “Volatility Curves of Incomplete Markets .” 2019. Thesis, Chalmers University of Technology. Accessed December 14, 2019. http://hdl.handle.net/20.500.12380/300552.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chechelnytska, Kateryna. “Volatility Curves of Incomplete Markets .” 2019. Web. 14 Dec 2019.

Vancouver:

Chechelnytska K. Volatility Curves of Incomplete Markets . [Internet] [Thesis]. Chalmers University of Technology; 2019. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/20.500.12380/300552.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chechelnytska K. Volatility Curves of Incomplete Markets . [Thesis]. Chalmers University of Technology; 2019. Available from: http://hdl.handle.net/20.500.12380/300552

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Linnaeus University

19. Yang, Yuankai. Pricing American and European options under the binomial tree model and its Black-Scholes limit model.

Degree: Mathematics, 2017, Linnaeus University

  We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With… (more)

Subjects/Keywords: European option; American option; Binomial tree model; Black-Scholes PDE; Black-Scholes option pricing formula; Mathematics; Matematik

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APA (6th Edition):

Yang, Y. (2017). Pricing American and European options under the binomial tree model and its Black-Scholes limit model. (Thesis). Linnaeus University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-68264

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Yang, Yuankai. “Pricing American and European options under the binomial tree model and its Black-Scholes limit model.” 2017. Thesis, Linnaeus University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-68264.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Yang, Yuankai. “Pricing American and European options under the binomial tree model and its Black-Scholes limit model.” 2017. Web. 14 Dec 2019.

Vancouver:

Yang Y. Pricing American and European options under the binomial tree model and its Black-Scholes limit model. [Internet] [Thesis]. Linnaeus University; 2017. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-68264.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yang Y. Pricing American and European options under the binomial tree model and its Black-Scholes limit model. [Thesis]. Linnaeus University; 2017. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-68264

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Illinois – Chicago

20. Jiang, Liyuan. A Nonparametric Estimate of the Risk-Neutral Density and Its Applications.

Degree: 2017, University of Illinois – Chicago

 The risk-neutral density for a future payoff of an asset can be estimated from market option prices that expire on the same date. We reformulate… (more)

Subjects/Keywords: Risk-neutral density estimation; Option pricing; Nonparametric approach; Constraint optimization; Variance swap pricing

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Jiang, L. (2017). A Nonparametric Estimate of the Risk-Neutral Density and Its Applications. (Thesis). University of Illinois – Chicago. Retrieved from http://hdl.handle.net/10027/21805

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Jiang, Liyuan. “A Nonparametric Estimate of the Risk-Neutral Density and Its Applications.” 2017. Thesis, University of Illinois – Chicago. Accessed December 14, 2019. http://hdl.handle.net/10027/21805.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Jiang, Liyuan. “A Nonparametric Estimate of the Risk-Neutral Density and Its Applications.” 2017. Web. 14 Dec 2019.

Vancouver:

Jiang L. A Nonparametric Estimate of the Risk-Neutral Density and Its Applications. [Internet] [Thesis]. University of Illinois – Chicago; 2017. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10027/21805.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Jiang L. A Nonparametric Estimate of the Risk-Neutral Density and Its Applications. [Thesis]. University of Illinois – Chicago; 2017. Available from: http://hdl.handle.net/10027/21805

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Manchester

21. Steinki, Oliver. An investigation of ensemble methods to improve the bias and/or variance of option pricing models based on Lévy processes.

Degree: Thesis (D.B.A.), 2015, University of Manchester

 This thesis introduces a novel theoretical option pricing ensemble framework to improve the bias and variance of option pricing models, especially those based on Levy… (more)

Subjects/Keywords: 338.5; option pricing; levy process; ensemble methods; derivatives pricing; dax; model uncertainty

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Steinki, O. (2015). An investigation of ensemble methods to improve the bias and/or variance of option pricing models based on Lévy processes. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/an-investigation-of-ensemble-methods-to-improve-the-bias-andor-variance-of-option-pricing-models-based-on-levy-processes(8c4f1c41-2b87-4138-a6d6-91e8292b0f23).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644491

Chicago Manual of Style (16th Edition):

Steinki, Oliver. “An investigation of ensemble methods to improve the bias and/or variance of option pricing models based on Lévy processes.” 2015. Doctoral Dissertation, University of Manchester. Accessed December 14, 2019. https://www.research.manchester.ac.uk/portal/en/theses/an-investigation-of-ensemble-methods-to-improve-the-bias-andor-variance-of-option-pricing-models-based-on-levy-processes(8c4f1c41-2b87-4138-a6d6-91e8292b0f23).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644491.

MLA Handbook (7th Edition):

Steinki, Oliver. “An investigation of ensemble methods to improve the bias and/or variance of option pricing models based on Lévy processes.” 2015. Web. 14 Dec 2019.

Vancouver:

Steinki O. An investigation of ensemble methods to improve the bias and/or variance of option pricing models based on Lévy processes. [Internet] [Doctoral dissertation]. University of Manchester; 2015. [cited 2019 Dec 14]. Available from: https://www.research.manchester.ac.uk/portal/en/theses/an-investigation-of-ensemble-methods-to-improve-the-bias-andor-variance-of-option-pricing-models-based-on-levy-processes(8c4f1c41-2b87-4138-a6d6-91e8292b0f23).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644491.

Council of Science Editors:

Steinki O. An investigation of ensemble methods to improve the bias and/or variance of option pricing models based on Lévy processes. [Doctoral Dissertation]. University of Manchester; 2015. Available from: https://www.research.manchester.ac.uk/portal/en/theses/an-investigation-of-ensemble-methods-to-improve-the-bias-andor-variance-of-option-pricing-models-based-on-levy-processes(8c4f1c41-2b87-4138-a6d6-91e8292b0f23).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644491


Washington State University

22. [No author]. CONTRACT STRATEGIES WITH OPTIONS IN SUPPLY CHAINS AND PREDICTIVE MODELS FOR PURCHASING CENTRALIZATION DECISIONS .

Degree: 2013, Washington State University

 This dissertation consists of four chapters. In Chapter 1, the background and motivation of the research on supply contracting strategy and purchasing centralization decisions are… (more)

Subjects/Keywords: Business; Management; Operations research; Joint pricing production decisions; Option Pricing; Purchasing centralizations; Voluntary Compliance

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

author], [. (2013). CONTRACT STRATEGIES WITH OPTIONS IN SUPPLY CHAINS AND PREDICTIVE MODELS FOR PURCHASING CENTRALIZATION DECISIONS . (Thesis). Washington State University. Retrieved from http://hdl.handle.net/2376/4810

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

author], [No. “CONTRACT STRATEGIES WITH OPTIONS IN SUPPLY CHAINS AND PREDICTIVE MODELS FOR PURCHASING CENTRALIZATION DECISIONS .” 2013. Thesis, Washington State University. Accessed December 14, 2019. http://hdl.handle.net/2376/4810.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

author], [No. “CONTRACT STRATEGIES WITH OPTIONS IN SUPPLY CHAINS AND PREDICTIVE MODELS FOR PURCHASING CENTRALIZATION DECISIONS .” 2013. Web. 14 Dec 2019.

Vancouver:

author] [. CONTRACT STRATEGIES WITH OPTIONS IN SUPPLY CHAINS AND PREDICTIVE MODELS FOR PURCHASING CENTRALIZATION DECISIONS . [Internet] [Thesis]. Washington State University; 2013. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/2376/4810.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

author] [. CONTRACT STRATEGIES WITH OPTIONS IN SUPPLY CHAINS AND PREDICTIVE MODELS FOR PURCHASING CENTRALIZATION DECISIONS . [Thesis]. Washington State University; 2013. Available from: http://hdl.handle.net/2376/4810

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Pennsylvania

23. Smith, Kevin. Essays On Information And Derivative Markets.

Degree: 2018, University of Pennsylvania

 In the first chapter ("Option Prices and Disclosure: Theory and Measurement"), I develop an option-pricing model that formally incorporates a disclosure event. The model suggests… (more)

Subjects/Keywords: Derivative pricing; Disclosure; Information asymmetry; Option pricing; Variance risk; Accounting; Economics; Finance and Financial Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Smith, K. (2018). Essays On Information And Derivative Markets. (Thesis). University of Pennsylvania. Retrieved from https://repository.upenn.edu/edissertations/2830

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Smith, Kevin. “Essays On Information And Derivative Markets.” 2018. Thesis, University of Pennsylvania. Accessed December 14, 2019. https://repository.upenn.edu/edissertations/2830.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Smith, Kevin. “Essays On Information And Derivative Markets.” 2018. Web. 14 Dec 2019.

Vancouver:

Smith K. Essays On Information And Derivative Markets. [Internet] [Thesis]. University of Pennsylvania; 2018. [cited 2019 Dec 14]. Available from: https://repository.upenn.edu/edissertations/2830.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Smith K. Essays On Information And Derivative Markets. [Thesis]. University of Pennsylvania; 2018. Available from: https://repository.upenn.edu/edissertations/2830

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

24. Zhang, Hai. Option Pricing in Non-Competitive Markets.

Degree: PhD, Mathematics & Statistics, 2018, York University

 In the classic option pricing theory, the market is assumed to be competitive. The relaxation of the competitive market assumption introduces two features: liquidity cost… (more)

Subjects/Keywords: Finance; Liquidity risk; Feedback effects; Option pricing; Utility indifference pricing; Local risk minimization; HJB equation

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Zhang, H. (2018). Option Pricing in Non-Competitive Markets. (Doctoral Dissertation). York University. Retrieved from http://hdl.handle.net/10315/34269

Chicago Manual of Style (16th Edition):

Zhang, Hai. “Option Pricing in Non-Competitive Markets.” 2018. Doctoral Dissertation, York University. Accessed December 14, 2019. http://hdl.handle.net/10315/34269.

MLA Handbook (7th Edition):

Zhang, Hai. “Option Pricing in Non-Competitive Markets.” 2018. Web. 14 Dec 2019.

Vancouver:

Zhang H. Option Pricing in Non-Competitive Markets. [Internet] [Doctoral dissertation]. York University; 2018. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10315/34269.

Council of Science Editors:

Zhang H. Option Pricing in Non-Competitive Markets. [Doctoral Dissertation]. York University; 2018. Available from: http://hdl.handle.net/10315/34269


Heriot-Watt University

25. Song, Jihe. Some aspects of enterprise restructuring in transitional economies.

Degree: PhD, 1998, Heriot-Watt University

Subjects/Keywords: 330; Privatisation; Option pricing; Reform

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APA (6th Edition):

Song, J. (1998). Some aspects of enterprise restructuring in transitional economies. (Doctoral Dissertation). Heriot-Watt University. Retrieved from http://hdl.handle.net/10399/1270

Chicago Manual of Style (16th Edition):

Song, Jihe. “Some aspects of enterprise restructuring in transitional economies.” 1998. Doctoral Dissertation, Heriot-Watt University. Accessed December 14, 2019. http://hdl.handle.net/10399/1270.

MLA Handbook (7th Edition):

Song, Jihe. “Some aspects of enterprise restructuring in transitional economies.” 1998. Web. 14 Dec 2019.

Vancouver:

Song J. Some aspects of enterprise restructuring in transitional economies. [Internet] [Doctoral dissertation]. Heriot-Watt University; 1998. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10399/1270.

Council of Science Editors:

Song J. Some aspects of enterprise restructuring in transitional economies. [Doctoral Dissertation]. Heriot-Watt University; 1998. Available from: http://hdl.handle.net/10399/1270


University of Pretoria

26. Ostaszewicz, Anna Julia. The Hurst parameter and option pricing with fractional Brownian motion.

Degree: Mathematics and Applied Mathematics, 2013, University of Pretoria

 In the mathematical modeling of the classical option pricing models it is assumed that the underlying stock price process follows a geometric Brownian motion, but… (more)

Subjects/Keywords: Fractional brownian motion; Option pricing; Hurst parameter; UCTD

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APA (6th Edition):

Ostaszewicz, A. (2013). The Hurst parameter and option pricing with fractional Brownian motion. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/26521

Chicago Manual of Style (16th Edition):

Ostaszewicz, Anna. “The Hurst parameter and option pricing with fractional Brownian motion.” 2013. Masters Thesis, University of Pretoria. Accessed December 14, 2019. http://hdl.handle.net/2263/26521.

MLA Handbook (7th Edition):

Ostaszewicz, Anna. “The Hurst parameter and option pricing with fractional Brownian motion.” 2013. Web. 14 Dec 2019.

Vancouver:

Ostaszewicz A. The Hurst parameter and option pricing with fractional Brownian motion. [Internet] [Masters thesis]. University of Pretoria; 2013. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/2263/26521.

Council of Science Editors:

Ostaszewicz A. The Hurst parameter and option pricing with fractional Brownian motion. [Masters Thesis]. University of Pretoria; 2013. Available from: http://hdl.handle.net/2263/26521


University of Pretoria

27. [No author]. The Hurst parameter and option pricing with fractional Brownian motion .

Degree: 2013, University of Pretoria

 In the mathematical modeling of the classical option pricing models it is assumed that the underlying stock price process follows a geometric Brownian motion, but… (more)

Subjects/Keywords: Fractional brownian motion; Option pricing; Hurst parameter; UCTD

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

author], [. (2013). The Hurst parameter and option pricing with fractional Brownian motion . (Masters Thesis). University of Pretoria. Retrieved from http://upetd.up.ac.za/thesis/available/etd-02012013-134807/

Chicago Manual of Style (16th Edition):

author], [No. “The Hurst parameter and option pricing with fractional Brownian motion .” 2013. Masters Thesis, University of Pretoria. Accessed December 14, 2019. http://upetd.up.ac.za/thesis/available/etd-02012013-134807/.

MLA Handbook (7th Edition):

author], [No. “The Hurst parameter and option pricing with fractional Brownian motion .” 2013. Web. 14 Dec 2019.

Vancouver:

author] [. The Hurst parameter and option pricing with fractional Brownian motion . [Internet] [Masters thesis]. University of Pretoria; 2013. [cited 2019 Dec 14]. Available from: http://upetd.up.ac.za/thesis/available/etd-02012013-134807/.

Council of Science Editors:

author] [. The Hurst parameter and option pricing with fractional Brownian motion . [Masters Thesis]. University of Pretoria; 2013. Available from: http://upetd.up.ac.za/thesis/available/etd-02012013-134807/


University of Louisville

28. Butler, Brian Michael, 1969-. The Black-Scholes formula and volatility smile.

Degree: MA, 2012, University of Louisville

 This paper investigates the development and applications of the Black-Scholes formula. This well-known formula is a continuous time model used primarily to price European style… (more)

Subjects/Keywords: Black-Scholes; Implied volatility; Binomial model; Option pricing; Arrow-Debreu

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APA (6th Edition):

Butler, Brian Michael, 1. (2012). The Black-Scholes formula and volatility smile. (Masters Thesis). University of Louisville. Retrieved from 10.18297/etd/188 ; https://ir.library.louisville.edu/etd/188

Chicago Manual of Style (16th Edition):

Butler, Brian Michael, 1969-. “The Black-Scholes formula and volatility smile.” 2012. Masters Thesis, University of Louisville. Accessed December 14, 2019. 10.18297/etd/188 ; https://ir.library.louisville.edu/etd/188.

MLA Handbook (7th Edition):

Butler, Brian Michael, 1969-. “The Black-Scholes formula and volatility smile.” 2012. Web. 14 Dec 2019.

Vancouver:

Butler, Brian Michael 1. The Black-Scholes formula and volatility smile. [Internet] [Masters thesis]. University of Louisville; 2012. [cited 2019 Dec 14]. Available from: 10.18297/etd/188 ; https://ir.library.louisville.edu/etd/188.

Council of Science Editors:

Butler, Brian Michael 1. The Black-Scholes formula and volatility smile. [Masters Thesis]. University of Louisville; 2012. Available from: 10.18297/etd/188 ; https://ir.library.louisville.edu/etd/188


The Ohio State University

29. Iancu, Aniela Karina. Numerical methods for pricing basket options.

Degree: PhD, Mathematics, 2004, The Ohio State University

 Most of the time, when pricing financial instruments, it is impossible to find closed form solutions for their values. Finding numerical solutions for the governing… (more)

Subjects/Keywords: Mathematics; Numerical Methods; Option Pricing

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APA (6th Edition):

Iancu, A. K. (2004). Numerical methods for pricing basket options. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1078324809

Chicago Manual of Style (16th Edition):

Iancu, Aniela Karina. “Numerical methods for pricing basket options.” 2004. Doctoral Dissertation, The Ohio State University. Accessed December 14, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1078324809.

MLA Handbook (7th Edition):

Iancu, Aniela Karina. “Numerical methods for pricing basket options.” 2004. Web. 14 Dec 2019.

Vancouver:

Iancu AK. Numerical methods for pricing basket options. [Internet] [Doctoral dissertation]. The Ohio State University; 2004. [cited 2019 Dec 14]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1078324809.

Council of Science Editors:

Iancu AK. Numerical methods for pricing basket options. [Doctoral Dissertation]. The Ohio State University; 2004. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1078324809


Penn State University

30. Liang, Chao. Approximate solution to second order parabolic equations, with application to financial modeling.

Degree: PhD, Mathematics, 2014, Penn State University

 In this dissertation, we consider second order parabolic equations with variable coefficients. We derive the closed-form approximations to the associated fundamental solution, as well as… (more)

Subjects/Keywords: Partial Differential Equations; Financial Modeling; Option Pricing; Approximate Solutions; Symbolic Computation

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APA (6th Edition):

Liang, C. (2014). Approximate solution to second order parabolic equations, with application to financial modeling. (Doctoral Dissertation). Penn State University. Retrieved from https://etda.libraries.psu.edu/catalog/22656

Chicago Manual of Style (16th Edition):

Liang, Chao. “Approximate solution to second order parabolic equations, with application to financial modeling.” 2014. Doctoral Dissertation, Penn State University. Accessed December 14, 2019. https://etda.libraries.psu.edu/catalog/22656.

MLA Handbook (7th Edition):

Liang, Chao. “Approximate solution to second order parabolic equations, with application to financial modeling.” 2014. Web. 14 Dec 2019.

Vancouver:

Liang C. Approximate solution to second order parabolic equations, with application to financial modeling. [Internet] [Doctoral dissertation]. Penn State University; 2014. [cited 2019 Dec 14]. Available from: https://etda.libraries.psu.edu/catalog/22656.

Council of Science Editors:

Liang C. Approximate solution to second order parabolic equations, with application to financial modeling. [Doctoral Dissertation]. Penn State University; 2014. Available from: https://etda.libraries.psu.edu/catalog/22656

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