Valuing options under regime switching environment = Regime switching 환경하에서의 옵션 가격결정

In this dissertation, we study for valuing options where its underlying assets are affected by stochastically changing market environments of economic, political factors and business cycle. First we find a closed-form formula of a time switch option whose payoff is related to the number of days the underlying asset prices has spent above a barrier, using a Markov regime-switching for the volatility. And we apply it to the valuation of other qualitative options such as corridor options and options in foreign exchange markets. Second we consider the problem of pricing a European-style multivariate contingent claims whose payoff function is dependent on multiple underlying assets with stochastic volatility. Finally we suggest a lattice method for valuing options which have two correlated underlying assets with stochastic volatility. A lattice method can be used in cases of absence of closed-form solution and American-style options.
Advisors
Choi, U-Jinresearcher
Publisher
한국과학기술원
Issue Date
2008
Identifier
295364/325007  / 020045825
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 수리과학과, 2008.2, [ vii, 47 p. ]

Keywords

옵션가격결정; 확률적 변동성; option valuation; stochastic volatility; regime-switching; Multivariate contingent claim; 옵션가격결정; 확률적 변동성; option valuation; stochastic volatility; regime-switching; Multivariate contingent claim

URI
http://hdl.handle.net/10203/41904
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=295364&flag=t
Appears in Collection
MA-Theses_Ph.D.(박사논문)
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