Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/22507
Author(s): | Ildefonso, João Seguro |
Advisor: | Dias, José Carlos Gonçalves |
Date: | 31-Mar-2021 |
Title: | Static hedging with repeated Richardson extrapolation |
Reference: | Ildefonso, J. S. (2021). Static hedging with repeated Richardson extrapolation [Dissertação de mestrado, Iscte - Instituto Universitário de Lisboa]. Repositório do Iscte. http://hdl.handle.net/10071/22507 |
Keywords: | Static replication Richardson extrapolation Option pricing Barrier options CEV JDCEV |
Abstract: | This thesis explores the Repeated Richardson extrapolation technique when applied to static
replication methodologies in the valuation of European-style barrier options under both the
constant elasticity of variance (CEV) model and the jump to default extended constant elasticity
of variance (JDCEV) model.
The Richardson extrapolation is a computational tool used throughout the literature in order
to improve the effciency of numerous numerical methods. In this thesis is going to be studied
the benefits of its use when applied to static replication methods. Esta tese explora a repeated Richardson extrapolation technique quando aplicada a metodologias de replicação estáticas na avaliação de opções com barreira europeias utilizando o modelo constant elasticity of variance (CEV) e o modelo jump to default extended constant elasticity of variance (JDCEV). A extrapolação de Richardson é uma ferramenta computacional usada para melhorar a eficiência de vários métodos numéricos. Nesta tese os seus benefícios vão ser explorados ao ser aplicada a métodos de replicação estática. |
Degree: | Mestrado em Matemática Financeira |
Peerreviewed: | yes |
Access type: | Open Access |
Appears in Collections: | T&D-DM - Dissertações de mestrado |
Files in This Item:
File | Description | Size | Format | |
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master_joao_seguro_ildefonso.pdf | 287,2 kB | Adobe PDF | View/Open |
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