Sökning: "Danny Zina"
Hittade 1 uppsats innehållade orden Danny Zina.
1. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility
Uppsats för yrkesexamina på grundnivå, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. LÄS MER
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