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Hittade 3 uppsatser som matchar ovanstående sökkriterier.

1. 1. Pricing of European- and American-style Asian Options using the Finite Element Method

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

   Författare :Jesper Karlsson; [2018]
   Nyckelord :Option pricing; finite element; streamline-diffusion; penalty method; projected successive over-relaxation; Asian options; American-style Asian options; Eurasian options; Amerasian options;

   Sammanfattning : An option is a contract between two parties where the holder has the option to buy or sell some underlying asset after a predefined exercise time. Options where the holder only has the right to buy or sell at the exercise time is said to be of European-style, while options that can be exercised any time before the exercise time is said to be of American-style. LÄS MER

3. 2. Analytical Valuation of American-Style Asian Options under Jump-Diffusion Processes

   Master-uppsats, Uppsala universitet/Analys och sannolikhetsteori

   Författare :Stefane Saize; [2014]
   Nyckelord :;

   Sammanfattning : .... LÄS MER

4. 3. Pricing American Style Asian OptionsUsing Dynamic Programming

   Master-uppsats, Akademin för utbildning, kultur och kommunikation

   Författare :Diego R. Calvo; Michail Musatov; [2010]
   Nyckelord :American Options; Asian Options; Option pricing; Java Applet; American-Asian call options pricing;

   Sammanfattning : The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price. .. LÄS MER