Essays about: "Optimal Exercise Boundary"

Found 4 essays containing the words Optimal Exercise Boundary.

  1. 1. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

    University essay from Lunds universitet/Matematisk statistik

    Author : Oscar Brink Bolin; Joel Ahnvik; [2022]
    Keywords : Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

    Abstract : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. READ MORE

  3. 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 kommunikation

    Author : Omar Mohammad; Rafi Khaliqi; [2020]
    Keywords : options; pricing; american; Monte-Carlo; Least square; heston model; stochastic; volatility; early exercise boundary volatility;

    Abstract : 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

  4. 3. Pricing Financial Derivatives with the FiniteDifference Method

    University essay from KTH/Matematisk statistik

    Author : Sargon Danho; [2017]
    Keywords : American Call Option; Black-Scholes Equation; European Option; Finite Difference Method; Heat Equation; Optimal Exercise Boundary; Optimal Exit Boundary; Stock Loan; Amerikanska köpoptioner; Black-Scholes ekvation; europeiska optioner; finita differensmetoden; värmeledningsekvationen; optimala omvandlingsgräns; optimala avyttringsgräns; lån med aktier som säkerhet;

    Abstract : In this thesis, important theories in financial mathematics will be explained and derived. These theories will later be used to value financial derivatives. READ MORE

  5. 4. Pricing American options using approximations by Kim integral equations

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Dmytro Sheludchenko; Daria Novoderezhkina; [2011]
    Keywords : American options; early exercise boundary; optimal exercise; feasible non-optimal exercise strategy; integral equations; approximations; numerical procedures.;

    Abstract : 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