dc.contributor.author | Ogutu, Carolyne A | |
dc.date.accessioned | 2013-05-21T15:34:00Z | |
dc.date.available | 2013-05-21T15:34:00Z | |
dc.date.issued | 2009 | |
dc.identifier.citation | M.Sc (Actuarial Science) | en |
dc.identifier.uri | http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/24250 | |
dc.description | Master of Science Thesis | en |
dc.description.abstract | Derivatives are financial instruments that whose values depend on
some underlying assets. Options give the owner the right but not the
obligation to buy or sell the underlying asset at a price called exercise
price.Path-dependent Options are options whose payoff depends on the
price history of the underlying asset. These options play an important
role in financial markets. The Asian Option is one of the prominent
examples of path-dependent options. An Asian Option is an option
whose payoff depends on the arithmetic average price of the asset.
PricingAsian Options efficiently and accurately has had long-standing
research, and numerous approximation methods are suggested in
academicliterature.
In Kenya, though Option pricing has not been introduced, there is
considerable trading in Currency Options over-the-counter. In this
project,I will explore Asian optionpricing on the lattice (binomial and
trinomial lattices). A lattice divides the time interval between the
option initial date and the maturity date into n equal time steps.
Finally,I will use these lattice methods to price Asian currency options
in Kenya. | en |
dc.description.sponsorship | University of Nairobi | en |
dc.language.iso | en | en |
dc.title | Pricing Asian currency options | en |
dc.type | Thesis | en |
local.publisher | School of Mathematics, University of Nairobi | en |