Essays about: "Asian Options"

Showing result 16 - 20 of 27 essays containing the words Asian Options.

  1. 16. Operator Splitting Techniques for American Type of Floating Strike Asian Option

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

    Author : Michal Takac; [2011]
    Keywords : Financial Mathematics; operator splitting; Asian Options;

    Abstract : In this thesis we investigate Asian oating strike options. We particu-larly focus on options with early exercise - American options. This typeof options are very lucrative to the end-users of commodities or ener-gies who are tend to be exposed to the average prices over time. READ MORE

  3. 17. The impact of the introduction of index options on volatility and liquidity on the underlying stocks : Empirical evidence from the Asian stock markets

    University essay from Handelshögskolan vid Umeå universitet

    Author : Md Kamrul Hasan; Shabyashachi Chowdhury; [2011]
    Keywords : Derivatives; Volatility; Liquidity; Index Options; Intraday return; Trading volume; Conditional volatility; Stock return volatility; Impacts; Underlying stocks;

    Abstract : The impact of the introduction of derivatives on the underlying stock is a debatable topic among the researchers. The issue is quite controversial as contradictory results have been obtained by researchers in various stock markets. READ MORE

  4. 18. Meshfree methods in option pricing

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Author : Anna Belova; Tamara Shmidt; [2011]
    Keywords : Financial Mathematics; option pricing; RBF; PDE; meshfree methods;

    Abstract : A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. READ MORE

  5. 19. 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

  6. 20. 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