Sökning: "American Options"

Visar resultat 1 - 5 av 74 uppsatser innehållade orden American Options.

  1. 1. Pricing of FX products - list rates

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Emma Edvardsson; [2023]
    Nyckelord :;

    Sammanfattning : 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. LÄS MER

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

    Master-uppsats, Uppsala universitet/Analys och partiella differentialekvationer

    Författare :Mohammed Moniruzzaman Khan; [2023]
    Nyckelord :;

    Sammanfattning : 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. LÄS MER

  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

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Abigail Hailu Berta; [2022]
    Nyckelord :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.;

    Sammanfattning : 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. LÄS MER

  5. 4. American call options under incomplete information

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Daniel Göransson; [2022]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

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

    Master-uppsats, Lunds universitet/Matematisk statistik

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

    Sammanfattning : 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. LÄS MER