Title page for etd-0808111-161815


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URN etd-0808111-161815
Author Yi-Yun Wu
Author's Email Address chopper1129@hotmail.com
Statistics This thesis had been viewed 5103 times. Download 2640 times.
Department Applied Mathematics
Year 2010
Semester 2
Degree Master
Type of Document
Language English
Title The Pricing of Power Options under the Generalized
Black-Scholes Model
Date of Defense 2011-06-24
Page Count 40
Keyword
  • risk-neutral
  • Black-Scholes
  • generalized Black-Scholes
  • power option
  • European option
  • Abstract A closed-form pricing formula of European options is obtained by Fischer Black and Myron Scholes (1973). In such a European option, the payoff depends `linearly' on the underlying asset price at the expiration time. An
    power option has a payoff which depends nonlinearly on the underlying asset price at the expiration time by raising a certain exponent. In the Black-Scholes model, a closed-form formula of a power option is obtained by Esser (2004). This paper extends Esser's result to the generalized Black-
    Scholes model. That is, we derive a closed-form pricing formula of a power option in the case when both the interest rate and the stock volatility are time-dependent.
    Advisory Committee
  • Lai-Jiu Lin - chair
  • Jen-Chih Yao - co-chair
  • Yen-Cherng Lin - co-chair
  • Hong-Kun Xu - advisor
  • Files
  • etd-0808111-161815.pdf
  • indicate access worldwide
    Date of Submission 2011-08-08

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