Sökning: "American Put option"
Visar resultat 1 - 5 av 22 uppsatser innehållade orden American Put option.
1. 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
2. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : 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. LÄS MER
3. Perpetual American Options and ImpliedVolatility
Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : This thesis analyzes perpetual American options and in particular aimsto identify what kind of behavior the implied volatility of perpetual Americanput options display. Using two different approaches, we derive the valuefunction for the American put option. LÄS MER
4. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. LÄS MER
5. Multilevel Monte Carlo Simulation for American Option Pricing
Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : In this thesis, we center our research around the analytical approximation of American put options with the Multilevel Monte Carlo simulation approach. The focus lies on reducing the computational complexity of estimating an expected value arising from a stochastic differential equation. LÄS MER