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You searched for subject:(option pricing). Showing records 1 – 30 of 255 total matches.

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University of Leicester

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

Degree: PhD, 2020, University of Leicester

 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

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

APA (6th 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 (16th 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 (7th 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

 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 (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 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 (7th 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.

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

3. 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 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 (7th 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

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

 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 April 11, 2021. 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. 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

 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 April 11, 2021. 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. 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.

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


Temple University

6. 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 April 11, 2021. http://digital.library.temple.edu/u?/p245801coll10,92363.

MLA Handbook (7th 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

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

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APA (6th 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

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):

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.

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

MLA Handbook (7th 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.

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

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

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 (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 (7th 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

 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 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 (7th 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

 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

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APA (6th Edition):

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

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):

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

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

MLA Handbook (7th 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.

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

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

  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 April 11, 2021. 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. 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 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 April 11, 2021. 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. 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

 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 April 11, 2021. 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. 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/.

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

14. [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 April 11, 2021. 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. 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

 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 April 11, 2021. 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. 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

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 April 11, 2021. 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. 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

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

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 April 11, 2021. 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. 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.

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


Delft University of Technology

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

Degree: 2017, Delft University of Technology

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 (6th 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 (16th 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 (7th 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

 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 (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 April 11, 2021. 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. 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.

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


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

 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 April 11, 2021. 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. 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.

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 Illinois – Chicago

21. 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 April 11, 2021. 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. 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.

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

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

 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 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 (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. 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

 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 April 11, 2021. 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. 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.

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


York University

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 April 11, 2021. http://hdl.handle.net/10315/34269.

MLA Handbook (7th 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

 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):

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 April 11, 2021. 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. 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

 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

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

APA (6th 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 (16th 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 (7th 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

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

APA (6th 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

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):

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.

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

MLA Handbook (7th 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.

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

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

 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

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

APA (6th 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

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):

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.

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

MLA Handbook (7th 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.

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

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


University of Otago

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

Degree: University of Otago

 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

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

APA (6th 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 (16th 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 (7th 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.

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

Note: this citation may be lacking information needed for this citation format:
No year of publication.


University of Manitoba

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

Degree: Statistics, 2011, University of Manitoba

 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 (6th 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 (16th 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 (7th 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

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