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UM Dissertations & Theses Collection (澳門大學電子學位論文庫)
- Title
-
Pricing exchange options
- English Abstract
-
Show / Hidden
This thesis discusses the pricing problems of two kinds of exchange options: one kind is without counterparty default risk and another kind is with counterparty default risk. For pricing each kind of exchange option, we derive a closed-form formula by applying the stochastic calculus and martingale method. Key words: Option; Credit risk; Credit derivative; Pricing
- Issue date
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2005.
- Author
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Huang, Liang Hai
- Faculty
- Faculty of Science and Technology
- Department
- Department of Mathematics
- Degree
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M.Sc.
- Subject
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Foreign exchange options -- Prices -- Mathematical models
Options (Finance) -- Prices -- Mathematical models
Foreign exchange -- Mathematical models
- Supervisor
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Ding, Deng
- Files In This Item
- Location
- 1/F Zone C
- Library URL
- 991008455569706306