Show simple item record

dc.contributor.authorKirillov, Tymur
dc.date.accessioned2012-03-21T18:03:38Z
dc.date.available2012-03-21T18:03:38Z
dc.date.issued2012-03-21
dc.identifier.urihttp://hdl.handle.net/10464/3933
dc.description.abstractThe aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.en_US
dc.subjectStocksen_US
dc.subjectStocks -- Rate of returnen_US
dc.subjectCommodity exchanges -- Illinois -- Chicagoen_US
dc.subjectStochastic programmingen_US
dc.titleA stochastic dynamic programming approach for pricing options on stock-index futuresen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record