Dr. Michael Moreno

Quantitative Developer

Thesis (written in French)

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Thesis Dissertation (pages 1 to 311)
Thesis Dissertation (pages 312 to 445)

Committee

Pr. Jean-Claude AUGROS, Professor at the University Claude Bernard – Lyon I, Directeur de Recherche
Pr. Jean-Paul LAURENT, Professor at the University Claude Bernard – Lyon I, Chairman
Pr. Patrice PONCET, Professor at the University Paris 1 & ESSEC School, Referee
Pr. Jean-Luc PRIGENT, Professor at the University of Cergy-Pontoise, Referee
Dr. Michel QUERUEL, Doctor in Finance, Thesis Prizewinner 98, Epsilon Funds Managers & Azur & Azile Funds Managers on Weather Derivatives, BAREP (subsidiary of Société Générale)
Pr. François QUITTARD-PINON, Professor at the University Claude Bernard – Lyon I
Pr. Daniel SERANT, Professor at the University Claude Bernard – Lyon I


Abstract : Share options are financial contracts which give the right, but not the obligation, to the owner to obtain, at a fixed date, ten shares (in the French case) at a given price. If the exercise of the contract can be done during the whole life of the option, then the kind of the option is American, whereas if the exercise may only occur at the maturity the option is told European. We devoted this thesis in the pricing and the managing of exotic options on shares, e. a. options which possess one or several differences according to the preceding. Without the difficulty encountered in the pricing, these contracts would not be limited in their complexity. The choice of share as underlying is firstly due to the number of exchanges of classic options, and secondly, because the methods employed for the valuation could be used in the case of index. Two news ways are introduced to price these contracts. The first one is based on an interpolation principle. The second one deals with the sequential approach known thanks to Kishimoto (Journal of Finance - 1989). The optional financial contracts play an important rule in the speculation and in insurance. Indeed, their specification can provide them a high leverage useful for improving the overall performance of a portfolio whereas the right and not the obligation to exercise the product may give a good insurance against falls (in general). As they are traded on the OTC market, the historical volatility of the return of the risky asset is much more important than for quoted options. So we propose a measure of the volatility defined as an "implicit-historical" one. Lastly, we give a numerical method to estimate the life-time distribution of the American and exotic options.