Pricing barrier options under scalar diffusions using the eigenfunction expansion approach

UTSePress Research/Manakin Repository

Search UTSePress Research


Advanced Search

Browse

My Account

Show simple item record

dc.contributor.author Harahap, Mahrita Aisah
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.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 (BMathFin(Hons)) en_US


Files in this item

This item appears in the following Collection(s)

Show simple item record