Essays about: "American-Asian Options"

Found 3 essays containing the words American-Asian Options.

  1. 1. Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach

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

    Author : David Radeschnig; [2015]
    Keywords : Implied Volatility; American-Asian Options; Quasi-Monte Carlo; Simulations; Weak Law of Large Numbers; K-Fold Cross Validation Test; Non-Parametic Kruskal-Wallis Test; Least Squares Approximation; Regression Tree; Pricing American Options;

    Abstract : This report focus upon implied volatility for American styled Asian options, and a least squares approximation method as a way of estimating its magnitude. Asian option prices are calculated/approximated based on Quasi-Monte Carlo simulations and least squares regression, where a known volatility is being used as input. READ MORE

  3. 2. Hedging strategy for an option on commodity market

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Ilya Tkachev; [2010]
    Keywords : Financial Mathematics; Forward; Commodity; Multi-Factor; Hedging; Option pricing;

    Abstract : In this work we consider the methods of pricing and hedging an option on the forward commodity market described by the multi-factor diffusion model. In the previous research there were presented explicit valuation formulas for standard European type options and simulation schemes for other types of options. READ MORE

  4. 3. Pricing American Style Asian OptionsUsing Dynamic Programming

    University essay from Akademin för utbildning, kultur och kommunikation

    Author : Diego R. Calvo; Michail Musatov; [2010]
    Keywords : American Options; Asian Options; Option pricing; Java Applet; American-Asian call options pricing;

    Abstract : The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price. .. READ MORE