Han, Manjae (2015) SelfReferential Options. Masters thesis, oxford university.

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Abstract
This thesis mainly focuses on various types of exotic option contracts with special feature, namely selfreferential property. An exotic option is defined to be selfreferential if one of its parameters (e.g. strike, barrier) reflects the option value and, hence, the option price itself affects the evolution of the option price. Selfreferential versions of forwardstart options, barrier options and Asian options will only be concerned in this thesis. Selfreferential option prices are not always welldefined or stable. In fact, such options do not even exist for certain type of exotic options with certain conditions on their parameters. Therefore, under the standard BlackScholes market assumption, we are going to price such options and study existence and stability of price functions.
Item Type:  Thesis (Masters) 

Subjects:  H  N > Mathematics education 
Research Groups:  Mathematical and Computational Finance Group 
ID Code:  1897 
Deposited By:  Laura Auger 
Deposited On:  08 Sep 2015 06:39 
Last Modified:  08 Sep 2015 06:39 
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