Essays about: "American option"
Showing result 1 - 5 of 63 essays containing the words American option.
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1. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation
University essay from Uppsala universitet/Analys och partiella differentialekvationerAbstract : This thesis aims at evaluating and implementing Longstaff & Schwarz approach for approximating the value of American options. American options are generally hard to value, exercised at any time up to its expiration and moreover, there is no closed- form solution for an American option’s price. READ MORE
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2. Risk Factors of Food Loss and Waste, and Life Cycle Assessment of waste management strategies in the Brazilian Leafy Vegetable Supply Chain
University essay from Högskolan i Borås/Akademin för textil, teknik och ekonomiAbstract : Food loss and waste (FLW) occurring early in the food supply chain (FSC) leads to increased resource wastage, including land, water, fertilisers, pesticides, fuel, packaging, energy, and labour. Targeting FLW prevention benefits various aspects such as food security, productivity, economic growth, climate change mitigation, resource conservation, and food waste management. READ MORE
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3. 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 kommunikationAbstract : 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
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4. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function
University essay from Lunds universitet/Matematisk statistikAbstract : 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
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5. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS
University essay from Lunds universitet/Matematisk statistikAbstract : 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