Sökning: "Heston model for american options"

Hittade 3 uppsatser innehållade orden Heston model for american options.

  1. 1. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Oscar Brink Bolin; Joel Ahnvik; [2022]
    Nyckelord :Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

    Sammanfattning : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. LÄS MER

  3. 2. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach

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

    Författare :Omar Mohammad; Rafi Khaliqi; [2020]
    Nyckelord :options; pricing; american; Monte-Carlo; Least square; heston model; stochastic; volatility; early exercise boundary volatility;

    Sammanfattning : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. LÄS MER

  4. 3. Asymptotic results for American option prices under extended Heston model

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

    Författare :Veronica Teri; [2019]
    Nyckelord :American options; Stochastic Volatility; Extended Heston model; Fast mean–reversion volatility; Asymptotic expansion; Average Volatility;

    Sammanfattning : In this thesis, we consider the pricing problem of an American put option. We introduce a new market model for the evolution of the underlying asset price. Our model adds a new parameter to the well known Heston model. Hence we name our model the extended Heston model. LÄS MER