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.