Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/93785
Title: | On the pricing of game options |
Authors: | Bartolo, Luke (2015) |
Keywords: | Investments Finance Markov processes |
Issue Date: | 2015 |
Citation: | Bartolo, L. (2015). On the pricing of game options (Bachelor's dissertation). |
Abstract: | Mathematical finance is an area which is always attracting further interest due to the ever-growing spectrum of financial derivatives. We know that financial options require a mathematical model to be priced and thus, in this study we shall be focusing on pricing perpetual game options. To better understand the pricing of such options, we shall briefly study the problem of pricing standard American options. Thus we first study a method of pricing American options using hedging arguments. This gives us a good framework to move on to the pricing of game options. Having studied the pricing of such options, the study will focus on optimal stopping games to find the value function of these options. In this section we aim to give a general solution to the value function. When the underlying process is a strong Markov process, we shall use semi-harmonic characterisation to obtain the value function and the optimal stopping times that are Nash-optimal. Finally, the results obtained throughout the study are utilised to price four specific perpetual game options and a financial interpretation is given on the results, specifically the optimal exercise region and cancellation region for the buyer and seller respectively. |
Description: | B.SC.(HONS)STATS.&OP.RESEARCH |
URI: | https://www.um.edu.mt/library/oar/handle/123456789/93785 |
Appears in Collections: | Dissertations - FacSci - 2015 Dissertations - FacSciSOR - 2015 |
Files in This Item:
File | Description | Size | Format | |
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BSC(HONS)STATS_OPRESEARCH_Bartolo_Luke_2015.pdf Restricted Access | 8.41 MB | Adobe PDF | View/Open Request a copy |
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