Geometric Asian option: Geometric Ornstein-Uhlenbeck process

 

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dc.contributor.advisor Mataramvura, Sure en_ZA
dc.contributor.author Zhou, Sen Lin en_ZA
dc.date.accessioned 2016-10-03T08:42:16Z
dc.date.available 2016-10-03T08:42:16Z
dc.date.issued 2013 en_ZA
dc.identifier.citation Zhou, S. 2013. Geometric Asian option: Geometric Ornstein-Uhlenbeck process. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/22062
dc.description.abstract Asian options, also known as average value options, are exotic options whose payoffs are dependent on the average prices of the underlying assets over the life of the options. The Asian options are very popular among the market participants when dealing with thinly traded commodities because the average property of the Asian options makes it very difficult to manipulate the payoffs of the options. Another reason for the popularity of Asian options is that they are cheaper than the corresponding portfolio of standard options to hedge the same exposure. The pricing of Asian options has been the subject of continuous studies. In previous studies, Asian options have been priced based on the assumption that the underlying asset follows a geometric Brownian motion. This dissertation, however, assumes that the underlying asset follows a geometric Ornstein-Uhlenbeck process and provides an explicit formula for the geometric Asian options. The geometric Ornstein-Uhlenbeck process is more economically appropriate than the geometric Brownian motion for modelling commodity prices, exchange rates and interest rates due to its mean-reverting property. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Financial Mathematics en_ZA
dc.title Geometric Asian option: Geometric Ornstein-Uhlenbeck process en_ZA
dc.type Thesis / Dissertation en_ZA
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Division of Actuarial Science en_ZA
dc.type.qualificationlevel Masters en_ZA
dc.type.qualificationname MPhil en_ZA
uct.type.filetype Text
uct.type.filetype Image


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