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dc.contributor.advisorPınar, Mustafa Ç.en_US
dc.contributor.authorAydın, Zeynepen_US
dc.date.accessioned2016-01-08T18:09:36Z
dc.date.available2016-01-08T18:09:36Z
dc.date.issued2009
dc.identifier.urihttp://hdl.handle.net/11693/14854
dc.descriptionAnkara : The Department of Industrial Engineering and the Institute of Engineering and Science of Bilkent University, 2009.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2009.en_US
dc.descriptionIncludes bibliographical references leaves 67-68.en_US
dc.description.abstractWe combine the principles of risk aversion and no-arbitrage pricing and propose an alternative way for pricing and hedging contingent claims in incomplete markets. We re-consider the pricing problem under the condition that losses are modeled by the measure of CVaR in the concept of λ gain-loss opportunities. The proposed model enables investors to specify their preferences by putting restrictions on the parameter λ that stands for risk aversion. Using CVaR as a measure of risk enables us to account for extreme losses and yield a conservative result. The pricing problem is studied in discrete time, multi-period, stochastic linear optimization environment with a finite probability space. We extend our model to include the perspectives of writers and buyers of the contingent claims. We use duality to establish a pricing interval of the contingent claims excluding CVaR-λ gain-loss opportunities in the market. Duality results also provide a way for passing to appropriate martingale measures and we express the pricing interval also in terms of martingale measures. This pricing interval is shown to be tighter than the no-arbitrage bounds. We also present a numerical study of our work with respect to the risk aversion parameter λ and in various levels of confidence. We compute prices of the the writers and buyers of 48 European call and put options on the S&P500 index on September 10, 2002 using the remaining options as market traded assets. It is possible to say that our proposed model yields good bounds as most of the bounds we obtained are very close to the true bid and ask values.en_US
dc.description.statementofresponsibilityAydın, Zeynepen_US
dc.format.extentxi, 68 leaves, graphicsen_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectstochastic programmingen_US
dc.subjectcontingent claimsen_US
dc.subjectdualityen_US
dc.subjectmartingalesen_US
dc.subjectarbitrageen_US
dc.subjectconditional value at risken_US
dc.subject.lccT57.79 .A93 2009en_US
dc.subject.lcshStochastic programming.en_US
dc.titlePricing and hedging of contingent claims in incopmplete markets by modeling losses as conditional value at risk in (formula)-gain loss opportunitiesen_US
dc.typeThesisen_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.publisherBilkent Universityen_US
dc.description.degreeM.S.en_US


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