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Exotic option, stochastic volatility...

Tang, Jiuhong.

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Exotic option, stochastic volatility model and incentive scheme.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Exotic option, stochastic volatility model and incentive scheme./
Author:	Tang, Jiuhong.
Description:	100 p.
Notes:	Source: Dissertation Abstracts International, Volume: 66-12, Section: B, page: 6663.
Contained By:	Dissertation Abstracts International66-12B.
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3199891
ISBN:	9780542467516

Exotic option, stochastic volatility model and incentive scheme.
Tang, Jiuhong.

Exotic option, stochastic volatility model and incentive scheme. - 100 p.

Source: Dissertation Abstracts International, Volume: 66-12, Section: B, page: 6663.

Thesis (Ph.D.)--University of Illinois at Chicago, 2005.

High Water Mark is the benchmark employed by the incentive scheme in hedge fund industry. This thesis develops the framework of lookback option pricing with HWM provision in stochastic volatility model, which is a distinct improvement to previous works in constant volatility model. The price of HWM lookback option is accomplished through Monte Carlo simulation and variance reduction technique. Numerical examples illustrate how the incentive schemes and different stochastic volatility models influence option pricing. Because incentive fees (IF) are usually paid monthly or quarterly, our discrete simulation to HWM lookback option price is more reasonable than the continuous collection assumption before. We also propose that the change of basic management fee is a stochastic process, which is different from the general deterministic assumption. Hedging error tests show better performance of the model in this situation.

ISBN: 9780542467516Subjects--Topical Terms:

515831
Mathematics.

Exotic option, stochastic volatility model and incentive scheme.
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008 130610s2005 eng d
020 $a 9780542467516
035 $a (UnM)AAI3199891
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040 $a UnM $c UnM
100 1 $a Tang, Jiuhong. $3 1909700
245 1 0 $a Exotic option, stochastic volatility model and incentive scheme.
300 $a 100 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-12, Section: B, page: 6663.
500 $a Chairperson: Stephen S.-T. Yau.
502 $a Thesis (Ph.D.)--University of Illinois at Chicago, 2005.
520 $a High Water Mark is the benchmark employed by the incentive scheme in hedge fund industry. This thesis develops the framework of lookback option pricing with HWM provision in stochastic volatility model, which is a distinct improvement to previous works in constant volatility model. The price of HWM lookback option is accomplished through Monte Carlo simulation and variance reduction technique. Numerical examples illustrate how the incentive schemes and different stochastic volatility models influence option pricing. Because incentive fees (IF) are usually paid monthly or quarterly, our discrete simulation to HWM lookback option price is more reasonable than the continuous collection assumption before. We also propose that the change of basic management fee is a stochastic process, which is different from the general deterministic assumption. Hedging error tests show better performance of the model in this situation.
590 $a School code: 0799.
650 4 $a Mathematics. $3 515831
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, Finance. $3 626650
690 $a 0405
690 $a 0770
690 $a 0508
710 2 0 $a University of Illinois at Chicago. $3 1020478
773 0 $t Dissertation Abstracts International $g 66-12B.
790 1 0 $a Yau, Stephen S.-T., $e advisor
790 $a 0799
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3199891