Please use this identifier to cite or link to this item: http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/6900
Title: Path-dependent options in semi-Markov regime switching models
Authors: GOSWAMI, ANINDYA
CHATTERJEE, BIHAN
Dept. of Mathematics
20171149
Keywords: option pricing
Asian options
Regime-switching models
Semi-Markov modulated market
Issue Date: May-2022
Citation: 90
Abstract: The aim of this thesis is to study option pricing of continuously sampled arithmetic Asian options in a semi-Markov Modulated market. As per the best of our knowledge this has not been done before. We start by reviewing the fundamentals of option pricing theory including the application of Follmer-Schweizer decomposition in incomplete markets to find the locally risk minimizing price of contingent claims. We then re-examine the pricing of path dependent options in markets where there are no regime switching and using the knowledge of pricing of vanilla options in regime switching markets we try to study the pricing of Asian options in the semi-Markov regime switching market. We show that the price function satisfies a PDE by deriving the Follmer-Schweizer decomposition of the claim. We also show that the PDE is equivalent to an integral solution using which the existence and uniqueness of classical solution to the PDE is proved.
URI: http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/6900
Appears in Collections:MS THESES

Files in This Item:
File Description SizeFormat 
BihanChatterjee-MSthesis.pdf593.68 kBAdobe PDFView/Open    Request a copy


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.