Sökning: "Daria Novoderezhkina"

Hittade 1 uppsats innehållade orden Daria Novoderezhkina.

  1. 1. Pricing American options using approximations by Kim integral equations

    M1-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Dmytro Sheludchenko; Daria Novoderezhkina; [2011]
    Nyckelord :American options; early exercise boundary; optimal exercise; feasible non-optimal exercise strategy; integral equations; approximations; numerical procedures.;

    Sammanfattning : The purpose of this thesis is to look into the difficulty of valuing American options, put as well as call, on an asset that pays continuous dividends. The authors are willing to demonstrate how mentioned above securities can be priced using a simple approximation of the Kim integral equations by quadrature formulas. LÄS MER