New approaches to the valuation of American and barrier options

美式期权和障碍期权估值的新方法

• 批准号: EP/D039053/2
• 负责人: Martijn Roger Pistorius
• 金额: --
• 依托单位: Imperial College London
• 依托单位国家: 英国
• 项目类别: Research Grant
• 财政年份: 2008
• 资助国家: 英国
• 起止时间: 2008 至 无数据
• 项目状态: 已结题
• 来源: https://gtr.ukri.org/projects?ref=EP%2FD039053%2F2
• 关键词: New; approaches; valuation; American; barrier

This project concerns the valuation and hedging of certain financial derivatives, American and barrier options. A barrier option is a derivative that is activated or extinguished if a certain rate, asset price or index crosses a specified level. An American option on a stock is a contract that gives its holder the right to exercise it at any time before expiry and receive then a certain payment from the seller, which may depend on the price of the stock at that moment. As American and barrier options are widely traded in financal markets, accurate valuation and hedging of American and barrier options are important issues.By their nature the valuation of American and barrier options is generally more involved than that of standard European options such as calls and puts: for example there is no known closed form solution for the value of an American put even under the simplifying assumptions of the classical Black-Scholes model. For valuation and hedging of these contracts one therefore has to resort to approximations. The aim of the proposed research is to make a contribution to the development of new algorithms and to investigate their mathematical properties, especially in the context of more realistic pricing models than the classical Black-Scholes model.

该项目涉及某些金融衍生品、美式期权和障碍期权的估值和对冲。障碍期权是一种衍生品，当某个利率、资产价格或指数超过特定水平时，该期权将被激活或终止。美式股票期权是一种合约，赋予持有人在到期前随时行使该期权的权利，然后从卖方收到一定的付款，这可能取决于当时股票的价格。由于美式期权和障碍期权在金融市场上广泛交易，因此美式期权和障碍期权的准确估值和对冲是重要的问题。从本质上来说，美式期权和障碍期权的估值通常比看涨期权和看跌期权等标准欧式期权的估值更复杂：例如，即使在经典布莱克-斯科尔斯模型的简化假设下，也没有已知的美式看跌期权价值的封闭式解。因此，为了对这些合约进行估值和对冲，人们必须采用近似值。拟议研究的目的是为新算法的开发做出贡献并研究其数学特性，特别是在比经典 Black-Scholes 模型更现实的定价模型的背景下。

项目成果

American Option Valuation under Continuous-Time Markov Chains

• DOI: 10.1239/aap/1435236980
• 发表时间: 2015-06
• 期刊: Advances in Applied Probability
• 影响因子: 1.2
• 作者: Björn Eriksson;M. Pistorius

A transform approach to compute prices and greeks of barrier options driven by a class of Levy processes

一种计算由一类 Levy 过程驱动的障碍期权价格和希腊语的转换方法

• DOI: 10.48550/arxiv.0812.3128
• 发表时间: 2008
• 作者: Jeannin M

EXIT PROBLEM OF A TWO-DIMENSIONAL RISK PROCESS FROM THE QUADRANT: EXACT AND ASYMPTOTIC RESULTS

• DOI: 10.1214/08-aap529
• 发表时间: 2008-12-01
• 期刊: ANNALS OF APPLIED PROBABILITY
• 影响因子: 1.8
• 作者: Avram, Florin;Palmowski, Zbigniew;Pistorius, Martijn R.
• 通讯作者: Pistorius, Martijn R.