Essays about: "American Call Option"

Showing result 1 - 5 of 11 essays containing the words American Call Option.

1. 1. Pricing and Hedging of Financial Instruments using Forward–Backward Stochastic Differential Equations : Call Spread Options with Different Interest Rates for Borrowing and Lending

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

   Author : Abigail Hailu Berta; [2022]
   Keywords : Backward stochastic differential equations BSDEs ; Markovian BSDEs; Least square Monte Carlo method; Deep BSDE method; Nonlinear option pricing and hedging problems; Pricing and hedging in high dimensions.;

   Abstract : In this project, we are aiming to solve option pricing and hedging problems numerically via Backward Stochastic Differential Equations (BSDEs). We use Markovian BSDEs to formulate nonlinear pricing and hedging problems of both European and American option types. 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. 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

5. 4. Pricing Financial Derivatives with the FiniteDifference Method

   University essay from KTH/Matematisk statistik

   Author : Sargon Danho; [2017]
   Keywords : American Call Option; Black-Scholes Equation; European Option; Finite Difference Method; Heat Equation; Optimal Exercise Boundary; Optimal Exit Boundary; Stock Loan; Amerikanska köpoptioner; Black-Scholes ekvation; europeiska optioner; finita differensmetoden; värmeledningsekvationen; optimala omvandlingsgräns; optimala avyttringsgräns; lån med aktier som säkerhet;

   Abstract : In this thesis, important theories in financial mathematics will be explained and derived. These theories will later be used to value financial derivatives. READ MORE

6. 5. Pricing American and European options under the binomial tree model and its Black-Scholes limit model

   University essay from Linnéuniversitetet/Institutionen för matematik (MA)

   Author : Yuankai Yang; [2017]
   Keywords : European option; American option; Binomial tree model; Black-Scholes PDE; Black-Scholes option pricing formula;

   Abstract : We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps,  convergence of the stock prices and the option prices are obtained as N-> infinite. READ MORE