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University of Leicester

1.
Wang, Min.
Path calculations and *option* * pricing*.

Degree: PhD, 2020, University of Leicester

URL: https://doi.org/10.25392/leicester.data.11807622.v1 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.798174

► The thesis is worked in the areas of the intersection of probability, combinatorics and analytical combinatoric. The research is motivated from the need of producing…
(more)

Subjects/Keywords: Thesis; Option Pricing

Record Details Similar Records

❌

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

APA (6^{th} Edition):

Wang, M. (2020). Path calculations and option pricing. (Doctoral Dissertation). University of Leicester. Retrieved from https://doi.org/10.25392/leicester.data.11807622.v1 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.798174

Chicago Manual of Style (16^{th} Edition):

Wang, Min. “Path calculations and option pricing.” 2020. Doctoral Dissertation, University of Leicester. Accessed April 11, 2021. https://doi.org/10.25392/leicester.data.11807622.v1 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.798174.

MLA Handbook (7^{th} Edition):

Wang, Min. “Path calculations and option pricing.” 2020. Web. 11 Apr 2021.

Vancouver:

Wang M. Path calculations and option pricing. [Internet] [Doctoral dissertation]. University of Leicester; 2020. [cited 2021 Apr 11]. Available from: https://doi.org/10.25392/leicester.data.11807622.v1 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.798174.

Council of Science Editors:

Wang M. Path calculations and option pricing. [Doctoral Dissertation]. University of Leicester; 2020. Available from: https://doi.org/10.25392/leicester.data.11807622.v1 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.798174

University of Alberta

2.
Hu,Huiting.
On Path-Dependent *Option* *Pricing* for the Heston
Model.

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

URL: https://era.library.ualberta.ca/files/c7w62f8422

► 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

Record Details Similar Records

❌

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

APA (6^{th} 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 (16^{th} Edition):

Hu,Huiting. “On Path-Dependent Option Pricing for the Heston Model.” 2016. Masters Thesis, University of Alberta. Accessed April 11, 2021. 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 (7^{th} Edition):

Hu,Huiting. “On Path-Dependent Option Pricing for the Heston Model.” 2016. Web. 11 Apr 2021.

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 2021 Apr 11]. Available from: https://era.library.ualberta.ca/files/c7w62f8422.

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

Author name may be incomplete

University of Waterloo

3.
Akhavein Sohrabi, Mohammad Yousef.
*Option**Pricing* under Regime Switching (Analytical, PDE, and FFT Methods).

Degree: 2011, University of Waterloo

URL: http://hdl.handle.net/10012/5945

► 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

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} Edition):

Akhavein Sohrabi, Mohammad Yousef. “Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods).” 2011. Thesis, University of Waterloo. Accessed April 11, 2021. 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 (7^{th} Edition):

Akhavein Sohrabi, Mohammad Yousef. “Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods).” 2011. Web. 11 Apr 2021.

Vancouver:

Akhavein Sohrabi MY. Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods). [Internet] [Thesis]. University of Waterloo; 2011. [cited 2021 Apr 11]. 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

Not specified: Masters Thesis or Doctoral Dissertation

Georgia Tech

4.
Kirkby, Justin L.
Frame and Fourier methods for exotic *option* *pricing* and hedging.

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

URL: http://hdl.handle.net/1853/59138

► 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

Record Details Similar Records

❌

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

APA (6^{th} 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 (16^{th} Edition):

Kirkby, Justin L. “Frame and Fourier methods for exotic option pricing and hedging.” 2016. Doctoral Dissertation, Georgia Tech. Accessed April 11, 2021. http://hdl.handle.net/1853/59138.

MLA Handbook (7^{th} Edition):

Kirkby, Justin L. “Frame and Fourier methods for exotic option pricing and hedging.” 2016. Web. 11 Apr 2021.

Vancouver:

Kirkby JL. Frame and Fourier methods for exotic option pricing and hedging. [Internet] [Doctoral dissertation]. Georgia Tech; 2016. [cited 2021 Apr 11]. 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

Rochester Institute of Technology

5.
Yang, Yuan.
Valuing a European *option* with the Heston model.

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

URL: https://scholarworks.rit.edu/theses/4809

► 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

Record Details Similar Records

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

APA (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Yang, Yuan. “Valuing a European option with the Heston model.” 2013. Thesis, Rochester Institute of Technology. Accessed April 11, 2021. https://scholarworks.rit.edu/theses/4809.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Yang, Yuan. “Valuing a European option with the Heston model.” 2013. Web. 11 Apr 2021.

Vancouver:

Yang Y. Valuing a European option with the Heston model. [Internet] [Thesis]. Rochester Institute of Technology; 2013. [cited 2021 Apr 11]. Available from: https://scholarworks.rit.edu/theses/4809.

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

Not specified: Masters Thesis or Doctoral Dissertation

Temple University

6.
Gong, Hui.
Modeling Volatility in *Option* *Pricing* with Applications.

Degree: PhD, 2010, Temple University

URL: http://digital.library.temple.edu/u?/p245801coll10,92363

►

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

Record Details Similar Records

❌

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

APA (6^{th} 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 (16^{th} Edition):

Gong, Hui. “Modeling Volatility in Option Pricing with Applications.” 2010. Doctoral Dissertation, Temple University. Accessed April 11, 2021. http://digital.library.temple.edu/u?/p245801coll10,92363.

MLA Handbook (7^{th} Edition):

Gong, Hui. “Modeling Volatility in Option Pricing with Applications.” 2010. Web. 11 Apr 2021.

Vancouver:

Gong H. Modeling Volatility in Option Pricing with Applications. [Internet] [Doctoral dissertation]. Temple University; 2010. [cited 2021 Apr 11]. 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

7.
Han, Shiguang.
American-asian *Option* *Pricing* Based On Monte Carlo
simulation Method
.

Degree: 2012, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/15563

► *Option* *pricing* is among the most important and challenging problems in the modern financial industry. With the development of *option* markets, various types of options…
(more)

Subjects/Keywords: American-Asian option pricing; Least square method

Record Details Similar Records

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

APA (6^{th} Edition):

Han, S. (2012). American-asian Option Pricing Based On Monte Carlo simulation Method . (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/15563

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Han, Shiguang. “American-asian Option Pricing Based On Monte Carlo simulation Method .” 2012. Thesis, Penn State University. Accessed April 11, 2021. https://submit-etda.libraries.psu.edu/catalog/15563.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Han, Shiguang. “American-asian Option Pricing Based On Monte Carlo simulation Method .” 2012. Web. 11 Apr 2021.

Vancouver:

Han S. American-asian Option Pricing Based On Monte Carlo simulation Method . [Internet] [Thesis]. Penn State University; 2012. [cited 2021 Apr 11]. Available from: https://submit-etda.libraries.psu.edu/catalog/15563.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Han S. American-asian Option Pricing Based On Monte Carlo simulation Method . [Thesis]. Penn State University; 2012. Available from: https://submit-etda.libraries.psu.edu/catalog/15563

Not specified: Masters Thesis or Doctoral Dissertation

Delft University of Technology

8.
Schols, E. (author).
Radial basis functions for *option* *pricing* in insurance liabilities.

Degree: 2016, Delft University of Technology

URL: http://resolver.tudelft.nl/uuid:6dcc68c9-f9f1-4449-8c69-f3b0af263cc4

►

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

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} Edition):

Schols, E (author). “Radial basis functions for option pricing in insurance liabilities.” 2016. Masters Thesis, Delft University of Technology. Accessed April 11, 2021. http://resolver.tudelft.nl/uuid:6dcc68c9-f9f1-4449-8c69-f3b0af263cc4.

MLA Handbook (7^{th} Edition):

Schols, E (author). “Radial basis functions for option pricing in insurance liabilities.” 2016. Web. 11 Apr 2021.

Vancouver:

Schols E(. Radial basis functions for option pricing in insurance liabilities. [Internet] [Masters thesis]. Delft University of Technology; 2016. [cited 2021 Apr 11]. 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

University of New South Wales

9.
Zhang, Mengzhe.
* Pricing* Financial Derivatives Under the Regime-Switching Models.

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

URL: http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true

► 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

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} Edition):

Zhang, Mengzhe. “Pricing Financial Derivatives Under the Regime-Switching Models.” 2017. Doctoral Dissertation, University of New South Wales. Accessed April 11, 2021. http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true.

MLA Handbook (7^{th} Edition):

Zhang, Mengzhe. “Pricing Financial Derivatives Under the Regime-Switching Models.” 2017. Web. 11 Apr 2021.

Vancouver:

Zhang M. Pricing Financial Derivatives Under the Regime-Switching Models. [Internet] [Doctoral dissertation]. University of New South Wales; 2017. [cited 2021 Apr 11]. 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

Australian National University

10.
Xiang, Peiwen.
*Option**Pricing* Driven by Lévy Processes
.

Degree: 2020, Australian National University

URL: http://hdl.handle.net/1885/219032

► The methodology of *pricing* financial derivatives, particularly stock options, was first introduced by Bachelier and developed by Black, Scholes and Merton, who gave the explicit…
(more)

Subjects/Keywords: Option Pricing; Lévy Processes; Stochastic Processes

Record Details Similar Records

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

APA (6^{th} Edition):

Xiang, P. (2020). Option Pricing Driven by Lévy Processes . (Thesis). Australian National University. Retrieved from http://hdl.handle.net/1885/219032

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Xiang, Peiwen. “Option Pricing Driven by Lévy Processes .” 2020. Thesis, Australian National University. Accessed April 11, 2021. http://hdl.handle.net/1885/219032.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Xiang, Peiwen. “Option Pricing Driven by Lévy Processes .” 2020. Web. 11 Apr 2021.

Vancouver:

Xiang P. Option Pricing Driven by Lévy Processes . [Internet] [Thesis]. Australian National University; 2020. [cited 2021 Apr 11]. Available from: http://hdl.handle.net/1885/219032.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Xiang P. Option Pricing Driven by Lévy Processes . [Thesis]. Australian National University; 2020. Available from: http://hdl.handle.net/1885/219032

Not specified: Masters Thesis or Doctoral Dissertation

Brigham Young University

11.
Chen, Sijin.
Asian Spread *Option* *Pricing* Models and Computation.

Degree: PhD, 2010, Brigham Young University

URL: https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=3368&context=etd

► 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

Record Details Similar Records

❌

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

APA (6^{th} 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 (16^{th} Edition):

Chen, Sijin. “Asian Spread Option Pricing Models and Computation.” 2010. Doctoral Dissertation, Brigham Young University. Accessed April 11, 2021. https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=3368&context=etd.

MLA Handbook (7^{th} Edition):

Chen, Sijin. “Asian Spread Option Pricing Models and Computation.” 2010. Web. 11 Apr 2021.

Vancouver:

Chen S. Asian Spread Option Pricing Models and Computation. [Internet] [Doctoral dissertation]. Brigham Young University; 2010. [cited 2021 Apr 11]. 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

12.
Singh, Gobind Preet.
* Pricing* Financial

Degree: Computer Science, 2016, University of Manitoba

URL: http://hdl.handle.net/1993/31618

► 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

Record Details Similar Records

❌

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

APA (6^{th} 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 (16^{th} Edition):

Singh, Gobind Preet. “Pricing Financial Option as a Multi-Objective Optimization Problem Using Firefly Algorithms.” 2016. Masters Thesis, University of Manitoba. Accessed April 11, 2021. http://hdl.handle.net/1993/31618.

MLA Handbook (7^{th} Edition):

Singh, Gobind Preet. “Pricing Financial Option as a Multi-Objective Optimization Problem Using Firefly Algorithms.” 2016. Web. 11 Apr 2021.

Vancouver:

Singh GP. Pricing Financial Option as a Multi-Objective Optimization Problem Using Firefly Algorithms. [Internet] [Masters thesis]. University of Manitoba; 2016. [cited 2021 Apr 11]. 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

13.
Yang, Qianqian.
An empirical study of implied volatility in Australian index *option* markets.

Degree: 2006, Queensland University of Technology

URL: https://eprints.qut.edu.au/16325/

► 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

Record Details Similar Records

❌

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

APA (6^{th} 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/

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Yang, Qianqian. “An empirical study of implied volatility in Australian index option markets.” 2006. Thesis, Queensland University of Technology. Accessed April 11, 2021. https://eprints.qut.edu.au/16325/.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Yang, Qianqian. “An empirical study of implied volatility in Australian index option markets.” 2006. Web. 11 Apr 2021.

Vancouver:

Yang Q. An empirical study of implied volatility in Australian index option markets. [Internet] [Thesis]. Queensland University of Technology; 2006. [cited 2021 Apr 11]. Available from: https://eprints.qut.edu.au/16325/.

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/

Not specified: Masters Thesis or Doctoral Dissertation

University of Pretoria

14.
[No author].
Transform analysis of affine jump diffusion processes
with applications to asset * pricing*
.

Degree: 2008, University of Pretoria

URL: http://upetd.up.ac.za/thesis/available/etd-06112008-162807/

► 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

Record Details Similar Records

❌

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

APA (6^{th} 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 (16^{th} Edition):

author], [No. “Transform analysis of affine jump diffusion processes with applications to asset pricing .” 2008. Masters Thesis, University of Pretoria. Accessed April 11, 2021. http://upetd.up.ac.za/thesis/available/etd-06112008-162807/.

MLA Handbook (7^{th} Edition):

author], [No. “Transform analysis of affine jump diffusion processes with applications to asset pricing .” 2008. Web. 11 Apr 2021.

Vancouver:

author] [. Transform analysis of affine jump diffusion processes with applications to asset pricing . [Internet] [Masters thesis]. University of Pretoria; 2008. [cited 2021 Apr 11]. 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 Pretoria

15.
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

URL: http://hdl.handle.net/2263/25445

► 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

Record Details Similar Records

❌

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

APA (6^{th} 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 (16^{th} Edition):

Bambe Moutsinga, Claude. “Transform analysis of affine jump diffusion processes with applications to asset pricing.” 2008. Masters Thesis, University of Pretoria. Accessed April 11, 2021. http://hdl.handle.net/2263/25445.

MLA Handbook (7^{th} Edition):

Bambe Moutsinga, Claude. “Transform analysis of affine jump diffusion processes with applications to asset pricing.” 2008. Web. 11 Apr 2021.

Vancouver:

Bambe Moutsinga C. Transform analysis of affine jump diffusion processes with applications to asset pricing. [Internet] [Masters thesis]. University of Pretoria; 2008. [cited 2021 Apr 11]. 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

University of Toronto

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

Degree: 2015, University of Toronto

URL: http://hdl.handle.net/1807/69721

►

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

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} Edition):

Zhang, Biyun. “Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time.” 2015. Masters Thesis, University of Toronto. Accessed April 11, 2021. http://hdl.handle.net/1807/69721.

MLA Handbook (7^{th} Edition):

Zhang, Biyun. “Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time.” 2015. Web. 11 Apr 2021.

Vancouver:

Zhang B. Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time. [Internet] [Masters thesis]. University of Toronto; 2015. [cited 2021 Apr 11]. 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

URL: https://scholars.wlu.ca/etd/2218

► 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

Record Details Similar Records

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

APA (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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 April 11, 2021. https://scholars.wlu.ca/etd/2218.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Sui, Yaode. “Analysis of CLMR trees for European and Asian option pricing under regime-switching jump-diffusion models.” 2019. Web. 11 Apr 2021.

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 2021 Apr 11]. Available from: https://scholars.wlu.ca/etd/2218.

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

Not specified: Masters Thesis or Doctoral Dissertation

Delft University of Technology

18. van der Weijst, Roel (author). Numerical Solutions for the Stochastic Local Volatility Model.

Degree: 2017, Delft University of Technology

URL: http://resolver.tudelft.nl/uuid:029cbbc3-d4d4-4582-8be2-e0979e9f6bc3

►

This thesis is about *pricing* European options and forward start options under the Heston LSV model. The impact of conditionally calibrating the Heston parameters on…
(more)

Subjects/Keywords: multilevel Monte Carlo; Local Stochastic Volatility; Forward Start Option; Option Pricing; Heston; Calibration

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

APA (6^{th} Edition):

van der Weijst, R. (. (2017). Numerical Solutions for the Stochastic Local Volatility Model. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:029cbbc3-d4d4-4582-8be2-e0979e9f6bc3

Chicago Manual of Style (16^{th} Edition):

van der Weijst, Roel (author). “Numerical Solutions for the Stochastic Local Volatility Model.” 2017. Masters Thesis, Delft University of Technology. Accessed April 11, 2021. http://resolver.tudelft.nl/uuid:029cbbc3-d4d4-4582-8be2-e0979e9f6bc3.

MLA Handbook (7^{th} Edition):

van der Weijst, Roel (author). “Numerical Solutions for the Stochastic Local Volatility Model.” 2017. Web. 11 Apr 2021.

Vancouver:

van der Weijst R(. Numerical Solutions for the Stochastic Local Volatility Model. [Internet] [Masters thesis]. Delft University of Technology; 2017. [cited 2021 Apr 11]. Available from: http://resolver.tudelft.nl/uuid:029cbbc3-d4d4-4582-8be2-e0979e9f6bc3.

Council of Science Editors:

van der Weijst R(. Numerical Solutions for the Stochastic Local Volatility Model. [Masters Thesis]. Delft University of Technology; 2017. Available from: http://resolver.tudelft.nl/uuid:029cbbc3-d4d4-4582-8be2-e0979e9f6bc3

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

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

URL: http://hdl.handle.net/20.500.12380/300552

► 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

Record Details Similar Records

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

APA (6^{th} Edition):

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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Chechelnytska, Kateryna. “Volatility Curves of Incomplete Markets .” 2019. Thesis, Chalmers University of Technology. Accessed April 11, 2021. http://hdl.handle.net/20.500.12380/300552.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Chechelnytska, Kateryna. “Volatility Curves of Incomplete Markets .” 2019. Web. 11 Apr 2021.

Vancouver:

Chechelnytska K. Volatility Curves of Incomplete Markets . [Internet] [Thesis]. Chalmers University of Technology; 2019. [cited 2021 Apr 11]. Available from: http://hdl.handle.net/20.500.12380/300552.

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

Not specified: Masters Thesis or Doctoral Dissertation

Washington State University

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

Degree: 2013, Washington State University

URL: http://hdl.handle.net/2376/4810

► 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

Record Details Similar Records

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

APA (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

author], [No. “CONTRACT STRATEGIES WITH OPTIONS IN SUPPLY CHAINS AND PREDICTIVE MODELS FOR PURCHASING CENTRALIZATION DECISIONS .” 2013. Thesis, Washington State University. Accessed April 11, 2021. http://hdl.handle.net/2376/4810.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

author], [No. “CONTRACT STRATEGIES WITH OPTIONS IN SUPPLY CHAINS AND PREDICTIVE MODELS FOR PURCHASING CENTRALIZATION DECISIONS .” 2013. Web. 11 Apr 2021.

Vancouver:

author] [. CONTRACT STRATEGIES WITH OPTIONS IN SUPPLY CHAINS AND PREDICTIVE MODELS FOR PURCHASING CENTRALIZATION DECISIONS . [Internet] [Thesis]. Washington State University; 2013. [cited 2021 Apr 11]. Available from: http://hdl.handle.net/2376/4810.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Illinois – Chicago

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

Degree: 2017, University of Illinois – Chicago

URL: http://hdl.handle.net/10027/21805

► 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

Record Details Similar Records

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

APA (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Jiang, Liyuan. “A Nonparametric Estimate of the Risk-Neutral Density and Its Applications.” 2017. Thesis, University of Illinois – Chicago. Accessed April 11, 2021. http://hdl.handle.net/10027/21805.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Jiang, Liyuan. “A Nonparametric Estimate of the Risk-Neutral Density and Its Applications.” 2017. Web. 11 Apr 2021.

Vancouver:

Jiang L. A Nonparametric Estimate of the Risk-Neutral Density and Its Applications. [Internet] [Thesis]. University of Illinois – Chicago; 2017. [cited 2021 Apr 11]. Available from: http://hdl.handle.net/10027/21805.

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

Not specified: Masters Thesis or Doctoral Dissertation

University of Manchester

22.
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

URL: 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

► 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

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} 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 April 11, 2021. 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 (7^{th} 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. 11 Apr 2021.

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 2021 Apr 11]. 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

University of Pennsylvania

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

Degree: 2018, University of Pennsylvania

URL: https://repository.upenn.edu/edissertations/2830

► 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

Record Details Similar Records

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

APA (6^{th} Edition):

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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Smith, Kevin. “Essays On Information And Derivative Markets.” 2018. Thesis, University of Pennsylvania. Accessed April 11, 2021. https://repository.upenn.edu/edissertations/2830.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Smith, Kevin. “Essays On Information And Derivative Markets.” 2018. Web. 11 Apr 2021.

Vancouver:

Smith K. Essays On Information And Derivative Markets. [Internet] [Thesis]. University of Pennsylvania; 2018. [cited 2021 Apr 11]. Available from: https://repository.upenn.edu/edissertations/2830.

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

Not specified: Masters Thesis or Doctoral Dissertation

York University

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

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

URL: http://hdl.handle.net/10315/34269

► 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

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} Edition):

Zhang, Hai. “Option Pricing in Non-Competitive Markets.” 2018. Doctoral Dissertation, York University. Accessed April 11, 2021. http://hdl.handle.net/10315/34269.

MLA Handbook (7^{th} Edition):

Zhang, Hai. “Option Pricing in Non-Competitive Markets.” 2018. Web. 11 Apr 2021.

Vancouver:

Zhang H. Option Pricing in Non-Competitive Markets. [Internet] [Doctoral dissertation]. York University; 2018. [cited 2021 Apr 11]. 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

University of Pretoria

25.
[No author].
The Hurst parameter and *option* *pricing* with fractional
Brownian motion
.

Degree: 2013, University of Pretoria

URL: http://upetd.up.ac.za/thesis/available/etd-02012013-134807/

► 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

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} Edition):

author], [No. “The Hurst parameter and option pricing with fractional Brownian motion .” 2013. Masters Thesis, University of Pretoria. Accessed April 11, 2021. http://upetd.up.ac.za/thesis/available/etd-02012013-134807/.

MLA Handbook (7^{th} Edition):

author], [No. “The Hurst parameter and option pricing with fractional Brownian motion .” 2013. Web. 11 Apr 2021.

Vancouver:

author] [. The Hurst parameter and option pricing with fractional Brownian motion . [Internet] [Masters thesis]. University of Pretoria; 2013. [cited 2021 Apr 11]. 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 Rochester

26. Deng, Tuo (1986 - ). Essays on factor demand adjustment.

Degree: PhD, 2015, University of Rochester

URL: http://hdl.handle.net/1802/29617

► This dissertation studies two aspects of firm factor demand decisions. The first chapter explores the excess labor reallocation at the firm level. The second chapter…
(more)

Subjects/Keywords: Imperfect information; Investment under uncertainty; Labor reallocation; Match quality; Option pricing

Record Details Similar Records

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

APA (6^{th} Edition):

Deng, T. (. -. ). (2015). Essays on factor demand adjustment. (Doctoral Dissertation). University of Rochester. Retrieved from http://hdl.handle.net/1802/29617

Chicago Manual of Style (16^{th} Edition):

Deng, Tuo (1986 - ). “Essays on factor demand adjustment.” 2015. Doctoral Dissertation, University of Rochester. Accessed April 11, 2021. http://hdl.handle.net/1802/29617.

MLA Handbook (7^{th} Edition):

Deng, Tuo (1986 - ). “Essays on factor demand adjustment.” 2015. Web. 11 Apr 2021.

Vancouver:

Deng T(-). Essays on factor demand adjustment. [Internet] [Doctoral dissertation]. University of Rochester; 2015. [cited 2021 Apr 11]. Available from: http://hdl.handle.net/1802/29617.

Council of Science Editors:

Deng T(-). Essays on factor demand adjustment. [Doctoral Dissertation]. University of Rochester; 2015. Available from: http://hdl.handle.net/1802/29617

Penn State University

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

Degree: 2014, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/22656

► 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

Record Details Similar Records

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

APA (6^{th} Edition):

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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Liang, Chao. “Approximate solution to second order parabolic equations, with application to financial modeling.” 2014. Thesis, Penn State University. Accessed April 11, 2021. https://submit-etda.libraries.psu.edu/catalog/22656.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Liang, Chao. “Approximate solution to second order parabolic equations, with application to financial modeling.” 2014. Web. 11 Apr 2021.

Vancouver:

Liang C. Approximate solution to second order parabolic equations, with application to financial modeling. [Internet] [Thesis]. Penn State University; 2014. [cited 2021 Apr 11]. Available from: https://submit-etda.libraries.psu.edu/catalog/22656.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

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

Not specified: Masters Thesis or Doctoral Dissertation

Penn State University

28.
Cheng, Wen.
Approximate Solutions to Second Order Parabolic Equations with Applications to *Option* * Pricing*.

Degree: 2011, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/12454

► In this thesis, we consider second order parabolic equations with coefficients that vary both in space and in time (non-autonomous). We derive closed-form approx- imations…
(more)

Subjects/Keywords: Green function; Fokker Planck equation; parabolic equation; Option Pricing

Record Details Similar Records

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

APA (6^{th} Edition):

Cheng, W. (2011). Approximate Solutions to Second Order Parabolic Equations with Applications to Option Pricing. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/12454

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Cheng, Wen. “Approximate Solutions to Second Order Parabolic Equations with Applications to Option Pricing.” 2011. Thesis, Penn State University. Accessed April 11, 2021. https://submit-etda.libraries.psu.edu/catalog/12454.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Cheng, Wen. “Approximate Solutions to Second Order Parabolic Equations with Applications to Option Pricing.” 2011. Web. 11 Apr 2021.

Vancouver:

Cheng W. Approximate Solutions to Second Order Parabolic Equations with Applications to Option Pricing. [Internet] [Thesis]. Penn State University; 2011. [cited 2021 Apr 11]. Available from: https://submit-etda.libraries.psu.edu/catalog/12454.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Cheng W. Approximate Solutions to Second Order Parabolic Equations with Applications to Option Pricing. [Thesis]. Penn State University; 2011. Available from: https://submit-etda.libraries.psu.edu/catalog/12454

Not specified: Masters Thesis or Doctoral Dissertation

University of Otago

29. Jiang, Yushuang. Modified GARCH Process and Variance Risk Premium .

Degree: University of Otago

URL: http://hdl.handle.net/10523/5079

► In this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH) process by introducing a new uncertainty into the volatility process. We then change…
(more)

Subjects/Keywords: GARCH option pricing models

Record Details Similar Records

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

APA (6^{th} Edition):

Jiang, Y. (n.d.). Modified GARCH Process and Variance Risk Premium . (Masters Thesis). University of Otago. Retrieved from http://hdl.handle.net/10523/5079

Note: this citation may be lacking information needed for this citation format:

No year of publication.

Chicago Manual of Style (16^{th} Edition):

Jiang, Yushuang. “Modified GARCH Process and Variance Risk Premium .” Masters Thesis, University of Otago. Accessed April 11, 2021. http://hdl.handle.net/10523/5079.

Note: this citation may be lacking information needed for this citation format:

No year of publication.

MLA Handbook (7^{th} Edition):

Jiang, Yushuang. “Modified GARCH Process and Variance Risk Premium .” Web. 11 Apr 2021.

Note: this citation may be lacking information needed for this citation format:

No year of publication.

Vancouver:

Jiang Y. Modified GARCH Process and Variance Risk Premium . [Internet] [Masters thesis]. University of Otago; [cited 2021 Apr 11]. Available from: http://hdl.handle.net/10523/5079.

No year of publication.

Council of Science Editors:

Jiang Y. Modified GARCH Process and Variance Risk Premium . [Masters Thesis]. University of Otago; Available from: http://hdl.handle.net/10523/5079

No year of publication.

University of Manitoba

30.
Doshi, Ankit.
Seasonal volatility models with applications in *option* * pricing*.

Degree: Statistics, 2011, University of Manitoba

URL: http://hdl.handle.net/1993/8889

► GARCH models have been widely used in finance to model volatility ever since the introduction of the ARCH model and its extension to the generalized…
(more)

Subjects/Keywords: Option pricing; Seasonality; Volatility; GARCH; Kurtosis; Bootstrap; Brownian motion; Black-Scholes

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APA (6^{th} Edition):

Doshi, A. (2011). Seasonal volatility models with applications in option pricing. (Masters Thesis). University of Manitoba. Retrieved from http://hdl.handle.net/1993/8889

Chicago Manual of Style (16^{th} Edition):

Doshi, Ankit. “Seasonal volatility models with applications in option pricing.” 2011. Masters Thesis, University of Manitoba. Accessed April 11, 2021. http://hdl.handle.net/1993/8889.

MLA Handbook (7^{th} Edition):

Doshi, Ankit. “Seasonal volatility models with applications in option pricing.” 2011. Web. 11 Apr 2021.

Vancouver:

Doshi A. Seasonal volatility models with applications in option pricing. [Internet] [Masters thesis]. University of Manitoba; 2011. [cited 2021 Apr 11]. Available from: http://hdl.handle.net/1993/8889.

Council of Science Editors:

Doshi A. Seasonal volatility models with applications in option pricing. [Masters Thesis]. University of Manitoba; 2011. Available from: http://hdl.handle.net/1993/8889