Essays about: "early exercise boundary volatility"

Found 2 essays containing the words early exercise boundary volatility.

1. 1. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility

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

   Author : Danny Zina; [2020]
   Keywords : Pricing American Options; Early Exercise Boundary; Markov-Modulated Volatility; Switching-State Volatility; Extended CRR Model.;

   Abstract : 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

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