Essays about: "Fredrik Lindstedt"

Found 1 essay containing the words Fredrik Lindstedt.

  1. 1. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function

    University essay from Lunds universitet/Matematisk statistik

    Author : Olle Ottander; Fredrik Lindstedt; [2022]
    Keywords : Option; American Option; Monte-Carlo; Least-Square; Black-Scholes; Merton; Finite Moment Log Stable; FMLS; Heston; Expected Continuation Value; Mathematics and Statistics;

    Abstract : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. READ MORE