Essays about: "American Put Option"

Showing result 11 - 15 of 21 essays containing the words American Put Option.

  1. 11. A comparison between finite differenceand binomial methods for solvingAmerican single-stock options

    University essay from KTH/Numerisk analys, NA

    Author : Alexander Eriksson; [2013]
    Keywords : ;

    Abstract : In this thesis, we compare four different finite-difference solvers with a binomial solver for pricing American options, with a special emphasis on achievable accuracy under computational time constraints. The three finite-difference solvers are: an operator splitting method suggested by S. Ikonen and J. READ MORE

  3. 12. Energy Derivatives Pricing

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Irina Prostakova; Alexander Tazov; [2011]
    Keywords : Financial Mathematics; Option; Energy derivative pricing;

    Abstract : In this paper we examine energy derivatives pricing. The previous studies considered the same source of uncertainty for the spot and the futures prices. We investigate the problem of futures pricing with two independent sources of risk. In general the structure of the oil and gas futures markets is closely related to some stock indices. READ MORE

  4. 13. Monte Carlo Methods in American Put Option Pricing

    University essay from Analys och tillämpad matematik

    Author : Hady Ahmady Phoulady; [2011]
    Keywords : ;

    Abstract : .... READ MORE

  5. 14. Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach

    University essay from Matematiska institutionen

    Author : Deniz Kaya; [2011]
    Keywords : multi-asset American options; Parallel Computing; Finite Element Method-of-lines; Projected Successive Over Relaxation for American option pricing;

    Abstract : There is the need for applying numerical methods to problems that cannot be solved analytically and as the spatial dimension of the problem is increased the need for computational recourses increase exponentially, a phenomenon known as the “curse of dimensionality”. In the Black-Scholes-Merton framework the American option pricing problem has no closed form solution and a numerical procedure has to be employed for solving a PDE. READ MORE

  6. 15. Pricing American options using approximations by Kim integral equations

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

    Author : Dmytro Sheludchenko; Daria Novoderezhkina; [2011]
    Keywords : American options; early exercise boundary; optimal exercise; feasible non-optimal exercise strategy; integral equations; approximations; numerical procedures.;

    Abstract : The purpose of this thesis is to look into the difficulty of valuing American options, put as well as call, on an asset that pays continuous dividends. The authors are willing to demonstrate how mentioned above securities can be priced using a simple approximation of the Kim integral equations by quadrature formulas. READ MORE