Essays about: "Danny Zina"
Found 1 essay containing the words Danny Zina.
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation
Abstract : The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. READ MORE