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The Research Of Two Exotic Options' Pricing

Posted on:2006-10-30Degree:MasterType:Thesis
Country:ChinaCandidate:D ZhangFull Text:PDF
GTID:2156360152993051Subject:Probability theory and mathematical statistics
Abstract/Summary:PDF Full Text Request
The assumption of Black-Scholes model is adopted in this article.Wiener process(Brownian Motion)and Markov property are used to characterize the stochastic motion of the underlying asset price. And the latter is consistent with the Weak Form of Market Efficiency(WFME). Then,Based on the risk neutral pricing theory,we get an pricing formula of jump-diffusion European weighted Arithmetic Average value Basket Options and an approximate closed-form formula of the price of Forward Start Average Price Asian Options at time t where the question we facing is that the arithmetic average sum of Normal random variables has no exact distribution form. In addition,due to the intrinsic advantage of the Monte Carlo simulation method to price the path-dependent derivatives,we test the accuracy of the latter formula we've got taking on the Monte Carlo simulation as a bench-mark and find that the formula we have obtained is just a good demonstration of the Forward-Start Average Price Asian Options.
Keywords/Search Tags:Monte Carlo simulation, Wiener Process, Weak form Market Efficient, Law of Iterated expectations, Basket Options, Forward Start—Asian Options
PDF Full Text Request
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