The valuation of turbo warrants under the CEV model

• Autor(es): Domingues, Ana Margarida David
• Data: 2012
• Identificador Persistente: http://hdl.handle.net/10451/9198
• Origem: Repositório da Universidade de Lisboa
• Assunto(s): Turbo warrants; Lookback options; Constant elasticity of variance model; Laplace transform; Teses de mestrado - 2012
• Tipo de Documento: Dissertação de mestrado
• Idioma: Inglês
• Orientador(es): Nunes, João Pedro Vidal; Dias, José Carlos Gonçalves
• Contribuidor(es): Repositório da Universidade de Lisboa

Descrição

Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2012

This thesis uses the Laplace transform of the probability distributions of the minimum and maximum asset prices and of the expected value of the terminal payoff of a down-and-out option to derive closed-form solutions for the prices of lookback options and turbo call warrants, under the Constant Elasticity of Variance (CEV) and geometric Brownian motion (GBM) models. These solutions require numerical computations to invert the Laplace transforms. The analytical solutions proposed are implemented in Matlab and Mathematica. We show that the prices of these contracts are sensitive to variations of the elasticity parameter β in the CEV model.