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The Pricing Of Barrier Options And Their Application

Posted on:2005-01-23Degree:MasterType:Thesis
Country:ChinaCandidate:B ZhangFull Text:PDF
GTID:2206360125953880Subject:Applied Mathematics
Abstract/Summary:PDF Full Text Request
This paper is based on the suppose of Black-Scholes. By using the risk neutral pricing theory of option and analysising the martingale property of the asset value process, we construct the model of the value of barrier options. By solving the heat equation, we obtion the price of the barrier options. Meanwhile, to the curve boundary and double constant boundarys, we obtain the probability distribution function of the time which the value of underlying first reach the boundary before maturity date by using equivalent martingale measure, reflection theory and residue theorem. On the other hand, we discuss the situation of paying a sum of cash when the option is knocked out and knock-in options. We also discuss how to make use of the option pricing in the pricing of other derivatives.
Keywords/Search Tags:Barrier option, heat equation, equivalent martingale measure, reflection theory, residue theorem, option pricing
PDF Full Text Request
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