Title:
Pricing of Game Options in a market with stochastic interest rates
Pricing of Game Options in a market with stochastic interest rates
| dc.contributor.advisor | Kertz, Robert P. | |
| dc.contributor.author | Hernandez Urena, Luis Gustavo | en_US |
| dc.contributor.committeeMember | David M. Goldsman | |
| dc.contributor.committeeMember | Meyer, Gunter H. | |
| dc.contributor.committeeMember | Marcus C. Spruill | |
| dc.contributor.committeeMember | Stephen Demko | |
| dc.contributor.department | Mathematics | en_US |
| dc.date.accessioned | 2005-07-28T19:32:51Z | |
| dc.date.available | 2005-07-28T19:32:51Z | |
| dc.date.issued | 2005-03-30 | en_US |
| dc.description.abstract | An in depth study of the pricing of Game contingent claims under a general diffusion market model, in which interest rate is non constant, is presented. With the idea of providing a few numerical examples of the valuation of such claims, we present a detailed description of a Bootstrapping procedure to obtain interest rate information from Swaps rates. We also present a Stripping procedure that can be used to obtain initial spot (caplet) volatility from Market quotes on Caps/FLoors. These methods are of general application and could be used in the calibration of diffusion models of interest rate. Then we show several examples of calibration of the Hull--White model of interest rates. Our calibration examples are later used in the numerical approximation of the value of a particular form of Game option. | en_US |
| dc.description.degree | Ph.D. | en_US |
| dc.format.extent | 1806095 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | http://hdl.handle.net/1853/7005 | |
| dc.language.iso | en_US | |
| dc.publisher | Georgia Institute of Technology | en_US |
| dc.subject | Game contingent claims | en_US |
| dc.subject | Stochastic interest rates | |
| dc.subject | Stochastic financial models | |
| dc.subject | Option pricing | |
| dc.subject | Dynkin games | |
| dc.subject | Standard market model | |
| dc.subject | Bootstraping of interest rate data | |
| dc.subject | Calibration of interest rate models | |
| dc.title | Pricing of Game Options in a market with stochastic interest rates | en_US |
| dc.type | Text | |
| dc.type.genre | Dissertation | |
| dspace.entity.type | Publication | |
| local.contributor.advisor | Kertz, Robert P. | |
| local.contributor.corporatename | College of Sciences | |
| local.contributor.corporatename | School of Mathematics | |
| relation.isAdvisorOfPublication | 58399f68-afd8-4822-bdb6-0034899e3f8b | |
| relation.isOrgUnitOfPublication | 85042be6-2d68-4e07-b384-e1f908fae48a | |
| relation.isOrgUnitOfPublication | 84e5d930-8c17-4e24-96cc-63f5ab63da69 |
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