Pricing of Game Options in a market with stochastic interest rates

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Title: Pricing of Game Options in a market with stochastic interest rates
Author: Hernandez Urena, Luis Gustavo
Abstract: An 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.
Type: Dissertation
Date: 2005-03-30
Publisher: Georgia Institute of Technology
Subject: Game contingent claims
Stochastic interest rates
Stochastic financial models
Option pricing
Dynkin games
Standard market model
Bootstraping of interest rate data
Calibration of interest rate models
Department: Mathematics
Advisor: Committee 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 Demko
Degree: Ph.D.

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