Essays about: "Pricing American Options"

Showing result 1 - 5 of 49 essays containing the words Pricing American Options.

1. 1. Pricing of FX products - list rates

   University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

   Author : Emma Edvardsson; [2023]
   Keywords : ;

   Abstract : List rates is a product that provides clients with a fixed exchange rate for a fixed period of time, varying from a few minutes up to a few days. During this period, the customer can exercise trading at the fixed exchange rate multiple times. The aim of this study is to find a pricing model for List rates. READ MORE

3. 2. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation

   University essay from Uppsala universitet/Analys och partiella differentialekvationer

   Author : Mohammed Moniruzzaman Khan; [2023]
   Keywords : ;

   Abstract : This thesis aims at evaluating and implementing Longstaff & Schwarz approach for approximating the value of American options. American options are generally hard to value, exercised at any time up to its expiration and moreover, there is no closed- form solution for an American option’s price. READ MORE

4. 3. Pricing and Hedging of Financial Instruments using Forward–Backward Stochastic Differential Equations : Call Spread Options with Different Interest Rates for Borrowing and Lending

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

   Author : Abigail Hailu Berta; [2022]
   Keywords : Backward stochastic differential equations BSDEs ; Markovian BSDEs; Least square Monte Carlo method; Deep BSDE method; Nonlinear option pricing and hedging problems; Pricing and hedging in high dimensions.;

   Abstract : In this project, we are aiming to solve option pricing and hedging problems numerically via Backward Stochastic Differential Equations (BSDEs). We use Markovian BSDEs to formulate nonlinear pricing and hedging problems of both European and American option types. READ MORE

5. 4. 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

6. 5. 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