Sökning: "American Options"
Visar resultat 1 - 5 av 74 uppsatser innehållade orden American Options.
1. Pricing of FX products - list rates
Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : 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
2. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation
Master-uppsats, Uppsala universitet/Analys och partiella differentialekvationerSammanfattning : 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
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 kommunikationSammanfattning : 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
4. American call options under incomplete information
Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : .... LÄS MER
5. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : 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