Degree Type

Dissertation

Date of Award

2007

Degree Name

Doctor of Philosophy

Department

Mathematics

First Advisor

Ananda Weerasinghe

Abstract

In this thesis we study three pricing problems related to American type financial contracts: firstly, we derive a closed form upper bound for American put options. This upper bound can be used in conjunction with traditional Monte Carlo simulation, which usually generates a lower bound, to obtain a better estimate for the option price; secondly, we solve an optimal control problem and derive an optimal strategy for the owner of a stock which is subject to default risk; thirdly, we prove an ordering result for American options with a piecewise linear payoff under a family of equivalent martingale measures used in stochastic volatility models.

DOI

https://doi.org/10.31274/rtd-180813-17107

Publisher

Digital Repository @ Iowa State University, http://lib.dr.iastate.edu/

Copyright Owner

Qiang Meng

Language

en

Proquest ID

AAI3274849

OCLC Number

183880111

ISBN

9780549151142

File Format

application/pdf

File Size

69 pages

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