Essays about: "American-style Asian options"

Found 3 essays containing the words American-style Asian options.

1. 1. Pricing of European- and American-style Asian Options using the Finite Element Method

   University essay from Umeå universitet/Institutionen för fysik

   Author : Jesper Karlsson; [2018]
   Keywords : Option pricing; finite element; streamline-diffusion; penalty method; projected successive over-relaxation; Asian options; American-style Asian options; Eurasian options; Amerasian options;

   Abstract : An option is a contract between two parties where the holder has the option to buy or sell some underlying asset after a predefined exercise time. Options where the holder only has the right to buy or sell at the exercise time is said to be of European-style, while options that can be exercised any time before the exercise time is said to be of American-style. READ MORE

3. 2. Analytical Valuation of American-Style Asian Options under Jump-Diffusion Processes

   University essay from Uppsala universitet/Analys och sannolikhetsteori

   Author : Stefane Saize; [2014]
   Keywords : ;

   Abstract : .... 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