Type of Document	Dissertation
Author	Hernández Ureña, Luis Gustavo
Author's Email Address	newton@math.gatech.edu
URN	etd-03152005-044640
Title	Pricing of Game Options in a market with stochastic interest rates
Degree	Doctor of Philosophy
Department	Mathematics
Advisory Committee	Advisor Name Title Dr. Robert P Kertz Committee Chair Dr. David M. Goldsman Committee Member Dr. Gunter H. Meyer Committee Member Dr. Marcus C. Spruill Committee Member Dr. Stephen Demko Committee Member
Keywords	Game contingent claims stochastic interest rates stochastic financial models option pricing Dynkin games standard market model bootstraping of interest rate data calibration of interest rate models
Date of Defense	2005-02-22
Availability	unrestricted
Abstract An in depth study of the pricing of Game contingent claims under a general diffusion market model, in which interest rate is non constant, is presented. With the idea of providing a few numerical examples of the valuation of such claims, we present a detailed description of a Bootstrapping procedure to obtain interest rate information from Swaps rates. We also present a Stripping procedure that can be used to obtain initial spot (caplet) volatility from Market quotes on Caps/FLoors. These methods are of general application and could be used in the calibration of diffusion models of interest rate. Then we show several examples of calibration of the Hull--White model of interest rates. Our calibration examples are later used in the numerical approximation of the value of a particular form of Game option.
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