Essays about: "American Put Option"

Showing result 1 - 5 of 21 essays containing the words American Put Option.

1. 1. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function

   University essay from Lunds universitet/Matematisk statistik

   Author : Olle Ottander; Fredrik Lindstedt; [2022]
   Keywords : Option; American Option; Monte-Carlo; Least-Square; Black-Scholes; Merton; Finite Moment Log Stable; FMLS; Heston; Expected Continuation Value; Mathematics and Statistics;

   Abstract : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. READ MORE

3. 2. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

   University essay from Lunds universitet/Matematisk statistik

   Author : Oscar Brink Bolin; Joel Ahnvik; [2022]
   Keywords : Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

   Abstract : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. READ MORE

4. 3. Perpetual American Options and ImpliedVolatility

   University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

   Author : Ebba Mellquist; [2022]
   Keywords : ;

   Abstract : This thesis analyzes perpetual American options and in particular aimsto identify what kind of behavior the implied volatility of perpetual Americanput options display. Using two different approaches, we derive the valuefunction for the American put option. READ MORE

5. 4. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model

   University essay from KTH/Matematisk statistik

   Author : Robin Nordström; Sepand Tabari; [2021]
   Keywords : Applied Mathematics; Financial Mathematics; Option Pricing; Binomial Option Pricing Model; Basket Option; Delta Neutrality; Data Analysis; Tillämpad Matematik; Finansiell Matematik; Optionsprissättning; Binomialmodellen; Korgoption; Deltaneutralitet; Dataanalys;

   Abstract : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. READ MORE

6. 5. Multilevel Monte Carlo Simulation for American Option Pricing

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Sabina Colakovic; Viktor Ågren; [2021]
   Keywords : Multilevel Monte Carlo simulation; Stochastic Differential Equations; Option pricing.;

   Abstract : In this thesis, we center our research around the analytical approximation of American put options with the Multilevel Monte Carlo simulation approach. The focus lies on reducing the computational complexity of estimating an expected value arising from a stochastic differential equation. READ MORE