Pricing lookback options under multiscale stochastic volatility.

• Other Authors: Chan, Chun Man.
• Format: Others
• Language: English; Chinese
• Published: 2005
• Subjects: Exotic options (Finance) > Prices > Mathematical models
• Online Access: http://library.cuhk.edu.hk/record=b5892699; http://repository.lib.cuhk.edu.hk/en/item/cuhk-325416

Chan Chun Man. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. === Includes bibliographical references (leaves 63-66). === Abstracts in English and Chinese. === Chapter 1 --- Introduction --- p.1 === Chapter 2 --- Volatility Smile and Stochastic Volatility Models --- p.6 === Chapter 2.1 --- Volatility Smile --- p.6 === Chapter 2.2 --- Stochastic Volatility Model --- p.9 === Chapter 2.3 --- Multiscale Stochastic Volatility Model --- p.12 === Chapter 3 --- Lookback Options --- p.14 === Chapter 3.1 --- Lookback Options --- p.14 === Chapter 3.2 --- Lookback Spread Option --- p.15 === Chapter 3.3 --- Dynamic Fund Protection --- p.16 === Chapter 3.4 --- Floating Strike Lookback Options under Black-Scholes Model --- p.17 === Chapter 4 --- Floating Strike Lookback Options under Multiscale Stochastic Volatility Model --- p.21 === Chapter 4.1 --- Multiscale Stochastic Volatility Model --- p.22 === Chapter 4.1.1 --- Model Settings --- p.22 === Chapter 4.1.2 --- Partial Differential Equation for Lookbacks --- p.24 === Chapter 4.2 --- Pricing Lookbacks in Multiscale Asymtoeics --- p.26 === Chapter 4.2.1 --- Fast Tirnescale Asymtotics --- p.28 === Chapter 4.2.2 --- Slow Tirnescale Asymtotics --- p.31 === Chapter 4.2.3 --- Price Approximation --- p.33 === Chapter 4.2.4 --- Estimation of Approximation Errors --- p.36 === Chapter 4.3 --- Floating Strike Lookback Options --- p.37 === Chapter 4.3.1 --- Accuracy for the Price Approximation --- p.39 === Chapter 4.4 --- Calibration --- p.40 === Chapter 5 --- Other Lookback Products --- p.43 === Chapter 5.1 --- Fixed Strike Lookback Options --- p.43 === Chapter 5.2 --- Lookback Spread Option --- p.44 === Chapter 5.3 --- Dynamic Fund Protection --- p.45 === Chapter 6 --- Numerical Results --- p.49 === Chapter 7 --- Conclusion --- p.53 === Appendix --- p.55 === Chapter A --- Verifications --- p.55 === Chapter A.1 --- Formula (4.12) --- p.55 === Chapter A.2 --- Formula (4.22) --- p.56 === Chapter B --- Proof of Proposition --- p.57 === Chapter B.1 --- Proof of Proposition (4.2.2) --- p.57 === Chapter C --- Black-Scholes Greeks for Lookback Options --- p.60 === Bibliography --- p.63