Sökning: "American option"

Visar resultat 1 - 5 av 75 uppsatser innehållade orden American option.

1. 1. 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

3. 2. Risk Factors of Food Loss and Waste, and Life Cycle Assessment of waste management strategies in the Brazilian Leafy Vegetable Supply Chain

   Master-uppsats, Högskolan i Borås/Akademin för textil, teknik och ekonomi

   Författare :Nathalie Garavito; [2023]
   Nyckelord :Behavioural causes; carbon footprint; causal mapping; mitigation strategies; prevention; root-cause analysis; take-back agreements;

   Sammanfattning : Food loss and waste (FLW) occurring early in the food supply chain (FSC) leads to increased resource wastage, including land, water, fertilisers, pesticides, fuel, packaging, energy, and labour. Targeting FLW prevention benefits various aspects such as food security, productivity, economic growth, climate change mitigation, resource conservation, and food waste management. 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. Herrelös för alltid - eller vill någon ansvara för en fastighet med negativt värde? - En uppsats om konkursförvaltarens möjlighet att överge fastigheter som har ett negativt värde vid konkurs.

   Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Juridiska institutionen; Lunds universitet/Juridiska fakulteten

   Författare :Louise Frigård; [2022]
   Nyckelord :Förmögenhetsrätt; insolvensrätt; obeståndsrätt; konkurs; abandonering; sakrätt; Law and Political Science;

   Sammanfattning : Övergivna återvinningscentraler på flera platser i Skåne har under det senaste året varit ett omtalat ämne. I Sverige finns ett hundratal fastigheter som saknar ägare. En fastighet kan bli herrelös genom att en konkursförvaltare väljer att överge fastigheten under pågående konkurs om fastighetens ekonomiska värde är negativt. 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