The Mathematical Institute, University of Oxford, Eprints Archive

Self-Referential Options

Han, Manjae (2015) Self-Referential 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 self-referential property. An exotic option is defined to be self-referential 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. Self-referential versions of forward-start options, barrier options and Asian options will only be concerned in this thesis. Self-referential option prices are not always well-defined 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 Black-Scholes 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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