Geometric Asian option: Geometric Ornstein-Uhlenbeck process

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dc.contributor.advisorMataramvura, Sureen_ZA
dc.contributor.authorZhou, Sen Linen_ZA
dc.date.accessioned2016-10-03T08:42:16Z
dc.date.available2016-10-03T08:42:16Z
dc.date.issued2013en_ZA
dc.description.abstractAsian 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.identifier.apacitationZhou, S. L. (2013). <i>Geometric Asian option: Geometric Ornstein-Uhlenbeck process</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/22062en_ZA
dc.identifier.chicagocitationZhou, Sen Lin. <i>"Geometric Asian option: Geometric Ornstein-Uhlenbeck process."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2013. http://hdl.handle.net/11427/22062en_ZA
dc.identifier.citationZhou, S. 2013. Geometric Asian option: Geometric Ornstein-Uhlenbeck process. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Zhou, Sen Lin AB - 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. DA - 2013 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2013 T1 - Geometric Asian option: Geometric Ornstein-Uhlenbeck process TI - Geometric Asian option: Geometric Ornstein-Uhlenbeck process UR - http://hdl.handle.net/11427/22062 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/22062
dc.identifier.vancouvercitationZhou SL. Geometric Asian option: Geometric Ornstein-Uhlenbeck process. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2013 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/22062en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titleGeometric Asian option: Geometric Ornstein-Uhlenbeck processen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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