Pricing and hedging of financial derivatives: an approach via Backward Stochastic Differential Equations
dc.contributor.advisor | Dr Miryana Grigorova | |
dc.contributor.author | OHOOD KHALID BIJAD ALDALBAHI | |
dc.date | 2022 | |
dc.date.accessioned | 2022-06-04T19:29:58Z | |
dc.date.available | 2022-01-19 17:22:12 | |
dc.date.available | 2022-06-04T19:29:58Z | |
dc.description.abstract | This paper studies backward stochastic differential equations driven by a Brownian motion and their applications, concentrating on the financial applications. This study aims to determine a fair price and a hedging strategy for European options with payoff 𝜂 using BSDEs. The underlying market models are the extended Black-Scholes model and a market model with imperfections, which has a different interest rate for borrowing and lending and a fixed tax. It was found that any payoff 𝜂 can be replicated by a linear and unique self-financing portfolio (𝑉𝑡 ) in the extended Black-Scholes model whereas in the market model with imperfections, any payoff 𝜂 can be replicated by a nonlinear and unique self-financing portfolio (𝑉𝑡 ). | |
dc.format.extent | 42 | |
dc.identifier.other | 109775 | |
dc.identifier.uri | https://drepo.sdl.edu.sa/handle/20.500.14154/65890 | |
dc.language.iso | en | |
dc.publisher | Saudi Digital Library | |
dc.title | Pricing and hedging of financial derivatives: an approach via Backward Stochastic Differential Equations | |
dc.type | Thesis | |
sdl.degree.department | Financial Mathematics MSc | |
sdl.degree.grantor | School of Mathematics | |
sdl.thesis.level | Master | |
sdl.thesis.source | SACM - United Kingdom |