Mathematics Research Projects 2021

• América Nájera
• Veronica Wang

América Nájera

Advisor: Leslie Cheng

Valuation of Options

Every day the stock market opens, and options are bought and sold. An option is the right but not the obligation to buy or sell an asset. Options are categorized as vanilla or exotic. Vanilla options include the European and American call and put options, while exotic options include barrier options (also called “knock-out'” or “knock-in” options), lookback options, and Asian options.  Our research will focus on the valuation of these options in the Generalized Binomial Model and in the Black-Scholes Model.

Veronica Wang

Advisor: Leslie Cheng

Mathematics of Hedging

We shall investigate the mathematics of hedging. Hedging is a strategy that tries to minimize risk. Investors will use hedging to reduce and control risk, but in the meantime, investors will lose some potential gains. We shall look at hedging in various mathematical models including the Binomial Model, Generalized Binomial Model, and Black-Scholes Model.