Pricing Options in a Finite State Markov Chain Market

Simple item page
atmire.migration.oldid2830
dc.contributor.advisorElliott, Robert James
dc.contributor.advisorSwishchuk, Anatoliy
dc.contributor.authorRamarimbahoaka, Dimbinirina
dc.date.accessioned2015-01-06T20:40:02Z
dc.date.available2015-02-23T08:00:37Z
dc.date.issued2015-01-06
dc.date.submitted2014en
dc.description.abstractWe consider a finite state Markov chain which models uncertainties in a financial market. A stochastic discount function is considered and prices of perpetual American options and optimal exercise times are initially investigated using a stationary variational inequality. Our next topic uses backward and reflected backward stochastic differential equations as tools for pricing. To begin with, comparison results for backward stochastic differential equations with Lipschitz driver are introduced. We price European options in a market where the randomness is modelled by the finite state Markov chain. A hedging strategy for a European option is shown to be a solution of a backward stochastic differential equation whose driver is continuous and the fair price of the option is derived as the minimal solution of such an equation. The existence of solutions and the minimal solution of the backward stochastic differential equation with continuous driver are established. We extend the backward stochastic differential approach to the so-called reflected backward stochastic differential equation, again with the Markov chain noise. This is used to find a superhedging strategy for an American option in the presence of the stochastic discount function mentioned above. Existence and uniqueness results for the solution of a reflected backward stochastic differential equation are obtained.en_US
dc.identifier.citationRamarimbahoaka, D. (2015). Pricing Options in a Finite State Markov Chain Market (Doctoral thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/27430en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/27430
dc.identifier.urihttp://hdl.handle.net/11023/1984
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectMathematics
dc.subject.classificationMarkov Chainen_US
dc.subject.classificationOptionsen_US
dc.subject.classificationBackward Stochastic Differential Equationsen_US
dc.titlePricing Options in a Finite State Markov Chain Market
dc.typedoctoral thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameDoctor of Philosophy (PhD)
ucalgary.item.requestcopytrue
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
ucalgary_2015_ramarimbahoaka_dimbinirina.pdf
Size:
689.86 KB
Format:
Adobe Portable Document Format
Description:
Main thesis
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
2.65 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Open Theses and Dissertations