Download or read book Asymptotic Methods for Option Pricing in Finance written by David Krief and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we study several mathematical finance problems, related to the pricing of derivatives. Using different asymptotic approaches, we develop methods to calculate accurate approximations of the prices of certain types of options in cases where no explicit formulas are available.In the first chapter, we are interested in the pricing of path-dependent options, with Monte-Carlo methods, when the underlying is modelled as an affine stochastic volatility model. We prove a long-time trajectorial large deviations principle. We then combine it with Varadhan's Lemma to calculate an asymptotically optimal measure change, that allows to reduce significantly the variance of the Monte-Carlo estimator of option prices.The second chapter considers the pricing with Monte-Carlo methods of options that depend on several underlying assets, such as basket options, in the Wishart stochastic volatility model, that generalizes the Heston model. Following the approach of the first chapter, we prove that the process verifies a long-time large deviations principle, that we use to reduce significantly the variance of the Monte-Carlo estimator of option prices, through an asymptotically optimal measure change. In parallel, we use the large deviations property to characterize the long-time behaviour of the Black-Scholes implied volatility of basket options.In the third chapter, we study the pricing of options on realized variance, when the spot volatility is modelled as a diffusion process with constant volatility. We use recent asymptotic results on densities of hypo-elliptic diffusions to calculate an expansion of the density of realized variance, that we integrate to obtain an expansion of option prices and their Black-Scholes implied volatility.The last chapter is dedicated to the pricing of interest rate derivatives in the Levy Libor market model, that generaliszes the classical (log-normal) Libor market model by introducing jumps. Writing the first model as a perturbation of the second and using the Feynman-Kac representation, we calculate explicit expansions of the prices of interest rate derivatives and, in particular, caplets and swaptions.