Sökning: "Escrowed Dividend Model"

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  1. 1. State Equidistant and Time Non-Equidistant Valuation of American Call Options on Stocks With Known Dividends

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Institutionen för informationsteknologi

    Författare :Johan Venemalm; [2014]
    Nyckelord :Computational Finance; American Call Options; Escrowed Dividend Model; Finite Differences; Time Non-Equidistant Methods;

    Sammanfattning : In computational finance, finite differences are a widely used tool in the valuation of standard derivative contracts. In a lower-dimensional setting, high accuracy and speed often characterize such methods, which gives them a competitive advantage against Monte Carlo methods. LÄS MER