Essays about: "Early Exercise Boundary"
Found 5 essays containing the words Early Exercise Boundary.
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1. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : 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
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2. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. READ MORE
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3. On the Signi cance of Capturing the Early Exercise Boundary for the American Put Price
University essay from Göteborgs universitet/Graduate SchoolAbstract : I show that the three-piece exponential boundary by Ju (1998) accurately 'tracks' the early exercise boundary. This results in more accurate option pricing than other comparable methods. READ MORE
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4. Operator Splitting Techniques for American Type of Floating Strike Asian Option
University essay from Tillämpad matematik och fysik (MPE-lab)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
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5. Pricing American options using approximations by Kim integral equations
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : The purpose of this thesis is to look into the difficulty of valuing American options, put as well as call, on an asset that pays continuous dividends. The authors are willing to demonstrate how mentioned above securities can be priced using a simple approximation of the Kim integral equations by quadrature formulas. READ MORE
