Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor | Multi-disciplinary Studies | en_US |
| dc.contributor | Department of Applied Mathematics | en_US |
| dc.creator | Lau, Ka-chuen | - |
| dc.identifier.uri | https://theses.lib.polyu.edu.hk/handle/200/1247 | - |
| dc.language | English | en_US |
| dc.publisher | Hong Kong Polytechnic University | - |
| dc.rights | All rights reserved | en_US |
| dc.title | A study of option pricing models with concentration on lookback options | en_US |
| dcterms.abstract | The objectives of this project are as follows: 1. To give an introduction to the general aspects of options. 2. To provide some user-friendly input screens for computing various types of lookback option values. For this purpose, MS Excel 97 for windows is chosen because it is popular and powerful. By means of some user-friendly input screens, these ready-to-use-spreadsheets can be used by anyone who is interested in options. In addition, source codes (written in VBA language) are provided in hopes of enhancing the understanding of the computation of option values. 3. As we know, pricing models for financial derivatives require, by their very nature, good knowledge of mathematics, especially in calculus. Chapters 2 to 4 are devoted to this purpose. The discrete lookback call options (path-dependent options) are notorious for their computational complexity. Their option values are computed by means of tridiagonal method. It was found that: (1) Lookback option values were successfully computed by means of VBA language under the MS Excel environment. Results obtained were quite promising. (2) For the discrete lookback call options studied the tridiagonal method was extremely efficient (without the "barrier too close" problem), accurate and faster than the existing numerical and analytical approximation methods. | en_US |
| dcterms.extent | iv, 57, [27] leaves : ill. ; 30 cm | en_US |
| dcterms.isPartOf | PolyU Electronic Theses | en_US |
| dcterms.issued | 2001 | en_US |
| dcterms.educationalLevel | All Master | en_US |
| dcterms.educationalLevel | M.Sc. | en_US |
| dcterms.LCSH | Stock options | en_US |
| dcterms.LCSH | Hong Kong Polytechnic University -- Dissertations | en_US |
| dcterms.accessRights | restricted access | en_US |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| b15770369.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 2.79 MB | Adobe PDF | View/Open |
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