Pricing barrier options under scalar diffusions using the eigenfunction expansion approach

Harahap, MA

Pricing barrier options under scalar diffusions using the eigenfunction expansion approach

Harahap, MA

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Publication Type:: Thesis
Issue Date:: 2010

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Field	Value	Language
dc.contributor.author	Harahap, MA
dc.date.accessioned	2013-04-22T03:10:48Z
dc.date.available	2013-04-22T03:10:48Z
dc.date.issued	2010
dc.identifier.uri	http://hdl.handle.net/10453/21860
dc.description	University of Technology, Sydney. Faculty of Science.
dc.description.abstract	In this thesis, we will present some methods used to price barrier options. We first price barrier options under the Black-Scholes model. Then we will discuss some of the shortcomings of the Black-Scholes model. Next we derive prices for barrier options under different classes of scalar diffusions. In particular, we will use eigenfunction expansions to price barrier options under the CEV model of price dynamics.	en_US
dc.format	Thesis (BMathFin(Hons))	en_US
dc.language.iso	en	en_US
dc.subject	Derivatives securities.	en_US
dc.subject	Pricing barrier options.	en_US
dc.subject	Eigenfunction expansion.	en_US
dc.subject	Scalar diffusions.	en_US
dc.title	Pricing barrier options under scalar diffusions using the eigenfunction expansion approach	en_US
dc.type	Thesis
utslib.copyright.status	open_access

Abstract:

In this thesis, we will present some methods used to price barrier options. We first price barrier options under the Black-Scholes model. Then we will discuss some of the shortcomings of the Black-Scholes model. Next we derive prices for barrier options under different classes of scalar diffusions. In particular, we will use eigenfunction expansions to price barrier options under the CEV model of price dynamics.

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http://hdl.handle.net/10453/21860