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On Option Bounds (2) (1).pdf (714.19 KB)

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ON STOCHASTIC DOMINANCE OPTION BOUNDS IN DISCRETE AND CONTINUOUS SPACE AND TIME WITH STOCHASTIC AND DETERMINISTIC VOLATILITY AND PRICING WITH CONSTANT RELATIVE RISK AVERSION

Rose, Eli
http://rave.ohiolink.edu/etdc/view?acc_num=case1591093905197292

Abstract Details

2020, Doctor of Philosophy, Case Western Reserve University, Applied Mathematics.
This thesis makes original contributions to the field of asset pricing, which is a field dedicated to describing the prices of financial instruments and their characteristics. The prices of these financial instruments are determined by the behavior of investors who buy and sell them, and so asset pricing is ultimately done by modeling the behavior of investors. One method for achieving this is through the framework of stochastic dominance. This thesis specifically deals with a specific class of financial instruments called European options and reviews the literature on stochastic dominance option pricing and discusses new methods for finding stochastic dominance bounds on options in both discrete and continuous time under both deterministic and stochastic volatility. The results presented here extends the works of Ritchken and Kuo (1988) and Perrakis and Ryan (1984). Furthermore, stochastic dominance bounds for Heston's (1993) stochastic volatility model are obtained under certain assumptions. Finally, this thesis extends the work of Carr and Madan (1999) and solves for the characteristic function of the call price given the physical characteristic function under the CRRA utility model.
Wojbor Woyczynski (Committee Chair)
Elizabeth Meckes (Committee Member)
Anirban Mondal (Committee Member)
Peter Ritchken (Committee Member)
103 p.
Theoretical Mathematics

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Citations

  • Rose, E. (2020). ON STOCHASTIC DOMINANCE OPTION BOUNDS IN DISCRETE AND CONTINUOUS SPACE AND TIME WITH STOCHASTIC AND DETERMINISTIC VOLATILITY AND PRICING WITH CONSTANT RELATIVE RISK AVERSION [Doctoral dissertation, Case Western Reserve University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=case1591093905197292

    APA Style (7th edition)

  • Rose, Eli. ON STOCHASTIC DOMINANCE OPTION BOUNDS IN DISCRETE AND CONTINUOUS SPACE AND TIME WITH STOCHASTIC AND DETERMINISTIC VOLATILITY AND PRICING WITH CONSTANT RELATIVE RISK AVERSION. 2020. Case Western Reserve University, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=case1591093905197292.

    MLA Style (8th edition)

  • Rose, Eli. "ON STOCHASTIC DOMINANCE OPTION BOUNDS IN DISCRETE AND CONTINUOUS SPACE AND TIME WITH STOCHASTIC AND DETERMINISTIC VOLATILITY AND PRICING WITH CONSTANT RELATIVE RISK AVERSION." Doctoral dissertation, Case Western Reserve University, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=case1591093905197292

    Chicago Manual of Style (17th edition)

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This open access ETD is published by Case Western Reserve University School of Graduate Studies and OhioLINK.