Please use this identifier to cite or link to this item:
Title: Pricing American options without expiry date
Authors: Yu, Kwok-wai
Keywords: Hong Kong Polytechnic University -- Dissertations
Options (Finance) -- Prices -- Mathematical models
Issue Date: 2004
Publisher: The Hong Kong Polytechnic University
Abstract: The history of options trading started prior to 1973. Many different types of options are regularly traded throughout the world. Options on stocks have been traded in Hong Kong since September 1995. Because of the early exercise opportunity, American-type options are more flexible and popular than European-type options. Although many researchers have contributed to deriving pricing formulas for European options, however there are no closed-form formulas for the prices of American options in most cases. The main difficulty is that it is a free boundary value problem. To price an American option, it is important to determine the optimal exercise boundary (and the optimal stopping time). For a perpetual American option, the optimal exercise boundary turns out to be constant through time. The word "perpetual" means that the option has no expiry date. This thesis discusses the martingale approach to pricing perpetual American-type options. A main tool in our approach is the principle of smooth pasting. For simplicity, options in one-stock case are considered first. These options include the perpetual American put option, call option and the perpetual maximum option on one stock. Then we extend our analysis to two-stock case. The perpetual maximum option on two stocks, the perpetual uncapped Margrabe option, the perpetual capped Margrabe options and the perpetual dynamic fund protection are discussed.
Description: viii, 99 leaves : ill. ; 30 cm.
PolyU Library Call No.: [THS] LG51 .H577M AMA 2004 Yu
Rights: All rights reserved.
Appears in Collections:Thesis

Files in This Item:
File Description SizeFormat 
b17811338_link.htmFor PolyU Users 162 BHTMLView/Open
b17811338_ir.pdfFor All Users (Non-printable) 2.63 MBAdobe PDFView/Open
Show full item record
PIRA download icon_1.1View/Download Contents

Page view(s)

Last Week
Last month
Citations as of Oct 15, 2018


Citations as of Oct 15, 2018

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.