Essays about: "feasible non-optimal exercise strategy"

Found 1 essay containing the words feasible non-optimal exercise strategy.

  1. 1. 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