Title page for etd-0706105-162110


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URN etd-0706105-162110
Author Ru-mei Tsai
Author's Email Address No Public.
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Department Applied Mathematics
Year 2004
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Pricing Vulnerable Options in Continuous Time Models
Date of Defense 2005-06-16
Page Count 48
Keyword
  • vulnerable option.
  • credit risk
  • multi-level regression
  • stepwise regression
  • path dependent
  • Abstract Under path dependent consideration, we discuss vulnerable option pricing problem. Two pricing
    models are proposed: Model(1) use stepwise regression and Monte Carlo simulation, and Model(2) is based on
    multi-level regression method. Since the option price was approximated by quadratic surface at each time point
    in Model(1), large mean square errors are induced. Therefore, we further propose a stepwise subset regression
    method to improve Model(1) approach. At present, this proposed method can compute the option price accurately
    for no credit risk options. For Model(2), we utilize a multi-level regression method to price vulnerable
    options, and simulation results show that the method can also obtain accurate option prices.
    Advisory Committee
  • Mong-na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • Mei-hui Guo - advisor
  • Files
  • etd-0706105-162110.pdf
  • indicate accessible in a year
    Date of Submission 2005-07-06

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