Essays about: "David Hjelmberg"

Found 1 essay containing the words David Hjelmberg.

  1. 1. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation

    University essay from Linköpings universitet/Produktionsekonomi

    Author : David Hjelmberg; Björn Lagerström; [2014]
    Keywords : American options; BSM PDE; discrete dividends; forward PDE; local volatility surface; automatic differentiation;

    Abstract : In this master thesis we have examined the possibility of pricing multiple American options, on an underlying asset with discrete dividends, with a finite difference method. We have found a good and stable way to price one American option by solving the BSM PDE backwards, while also calculating the Greeks of the option with automatic differentiation. READ MORE