| The main research question of this thesis is that the Pricing of Two Classes ofExotic Option in Quanto Model and Application. On the basis of the Quanto model,the paper proposes the pricing formula of Geometric Average Asian barrier optionsand Geometric Average Digital options. The last part of the thesis focuses on thepractical application of Quanto model Geometric Average Asian Digital options inFinancial Engineering.The thesis respectively adopts two methods to analyzing two Exotic optionspricings in Quanto model. First, I use the martingale method of option pricing toset a price for Geometric Average Asian barrier options in Quanto model. In Quan-to model, fnding an equivalent martingale measure by Girsanov Theorem, so thatthe discounted assets is also a martingale process. Then appling the basic principlesof asset pricing to calculate the discounting of the expected revenue of Contingentclaims. The second method that I used in the thesis is the Partial diferential equa-tion method. First to make the options pricing for the Geometric Average Asianin Quanto model and then I structure with the portfolio of contingent claims e-quivalent. In order to calculate the pricing formula of contingent claims, I use twoprocedures, frst, calculating the partial diferential equation which satisfes by theoptions price with the method of Delta-hedging. In order to obtain the results, Iconvert PDE into Cauchy problems by variable substitution.By the end of the thesis mainly focus on the practical application of Quantomodel Geometric Average Asian Digital options in Financial Engineering. |
