We have presented a new unified approach to model the dynamics of both the sum and
difference of two correlated lognormal stochastic variables. By the Lie-Trotter operator …

In this paper we apply the idea of the WKB method to derive an effective single lognormal
approximation for the probability distribution of the sum of two correlated lognormal …

This study investigates compound basket options, which are options on portfolios of options.
Although they may be new to financial markets, they are available as equity basket options …

We have applied the Lie-Trotter operator splitting method to model the dynamics of both the
sum and difference of two correlated constant elasticity of variance (CEV) stochastic …

This study adopts the unbounded-system distribution of the Johnson (1949) distribution
family to approximate the basket/spread distribution and derive a versatile pricing model …

Investigation of how data are distributed is mandatory for proper statistical analysis. Different
statistics are use to assess a general null hypothesis (H0): data follow a specific distribution …

Despite the fact that currency‐protected swaps and swaptions are widely traded in the
marketplace, pricing models for zero‐spread swaps, and swaptions have rarely been …

Multidimensional problems associated with the stochastic dynamics of their underlying
assets are widespread in the financial arena while remaining intractable owing to their …

This thesis studies two types of problems in financial derivatives pricing. The first type is the
free boundary problem, which can be formulated as a partial differential equation (PDE) …

亞式一籃子選擇權同時具備亞式選擇權跟一籃子選擇權的特性, 故難以找到選擇權價格的封閉解
. 在這篇論文中, 我們使用平移對數常態分配(shifted lognormal) 以及負平移對數常態分配 …