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dc.contributor.authorHernandez Urena, Luis Gustavoen_US
dc.date.accessioned2005-07-28T19:32:51Z
dc.date.available2005-07-28T19:32:51Z
dc.date.issued2005-03-30en_US
dc.identifier.urihttp://hdl.handle.net/1853/7005
dc.description.abstractAn in depth study of the pricing of Game contingent claims under a general diffusion market model, in which interest rate is non constant, is presented. With the idea of providing a few numerical examples of the valuation of such claims, we present a detailed description of a Bootstrapping procedure to obtain interest rate information from Swaps rates. We also present a Stripping procedure that can be used to obtain initial spot (caplet) volatility from Market quotes on Caps/FLoors. These methods are of general application and could be used in the calibration of diffusion models of interest rate. Then we show several examples of calibration of the Hull--White model of interest rates. Our calibration examples are later used in the numerical approximation of the value of a particular form of Game option.en_US
dc.format.extent1806095 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.publisherGeorgia Institute of Technologyen_US
dc.subjectGame contingent claimsen_US
dc.subjectStochastic interest rates
dc.subjectStochastic financial models
dc.subjectOption pricing
dc.subjectDynkin games
dc.subjectStandard market model
dc.subjectBootstraping of interest rate data
dc.subjectCalibration of interest rate models
dc.titlePricing of Game Options in a market with stochastic interest ratesen_US
dc.typeDissertationen_US
dc.description.degreePh.D.en_US
dc.contributor.departmentMathematicsen_US
dc.description.advisorCommittee Chair: Dr. Robert P Kertz; Committee Member: Dr. David M. Goldsman; Committee Member: Dr. Gunter H. Meyer; Committee Member: Dr. Marcus C. Spruill; Committee Member: Dr. Stephen Demkoen_US


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