Show simple item record

dc.contributor.advisorCao, Jiling
dc.contributor.advisorZhang, Wenjun
dc.contributor.authorWang, Biyuan
dc.date.accessioned2019-10-17T21:09:32Z
dc.date.available2019-10-17T21:09:32Z
dc.date.copyright2019
dc.identifier.urihttp://hdl.handle.net/10292/12917
dc.description.abstractThe celebrated Black-Scholes model on pricing a European option gives a simple and elegant pricing formula for European options with the underlying price following a geometric Brownian motion. In a realistic market with transaction costs, the option pricing problem is known to lead to solving nonlinear partial differential equations even in the simplest model. The nonlinear term in these partial differential equations (PDE) reflects the presence of transaction costs. Leland developed a modified option replicating strategy which depends on the size of transaction costs and the frequency of revision. In this thesis, we consider the problem of option pricing under the Heston-CIR model, which is a combination of the stochastic volatility model discussed in Heston and the stochastic interest rates model driven by Cox-Ingersoll-Ross (CIR) processes with transaction costs. in this case, the reacted nonlinear PDE with respect to the option price does not have a closed-form solution. We use the finite-difference scheme to solve this PDE and conduct model’s performance analysis.en_NZ
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.subjectHeston-CIR Modelen_NZ
dc.subjectStochastic interest ratesen_NZ
dc.subjectTransaction costsen_NZ
dc.subjectOption pricingen_NZ
dc.titleOption Pricing Under the Heston-CIR Model with Stochastic Interest Rates and Transaction Costsen_NZ
dc.typeThesisen_NZ
thesis.degree.grantorAuckland University of Technology
thesis.degree.levelMasters Theses
thesis.degree.nameMaster of Scienceen_NZ
dc.rights.accessrightsOpenAccess
dc.date.updated2019-10-17T09:45:36Z


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record