Essays about: "American Put Option"

Showing result 6 - 10 of 21 essays containing the words American Put Option.

  1. 6. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach

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

    Author : Omar Mohammad; Rafi Khaliqi; [2020]
    Keywords : options; pricing; american; Monte-Carlo; Least square; heston model; stochastic; volatility; early exercise boundary volatility;

    Abstract : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. READ MORE

  3. 7. Asymptotic results for American option prices under extended Heston model

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

    Author : Veronica Teri; [2019]
    Keywords : American options; Stochastic Volatility; Extended Heston model; Fast mean–reversion volatility; Asymptotic expansion; Average Volatility;

    Abstract : In this thesis, we consider the pricing problem of an American put option. We introduce a new market model for the evolution of the underlying asset price. Our model adds a new parameter to the well known Heston model. Hence we name our model the extended Heston model. READ MORE

  4. 8. On the Signi cance of Capturing the Early Exercise Boundary for the American Put Price

    University essay from Göteborgs universitet/Graduate School

    Author : Kushtrim Bajqinca; [2017-07-25]
    Keywords : American put option; Analytical approximation; Early exercise boundary;

    Abstract : I show that the three-piece exponential boundary by Ju (1998) accurately 'tracks' the early exercise boundary. This results in more accurate option pricing than other comparable methods. READ MORE

  5. 9. 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. 10. 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