Sökning: "Projected Successive Over Relaxation for American option pricing"

Hittade 2 uppsatser innehållade orden Projected Successive Over Relaxation for American option pricing.

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. Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach

   Uppsats för yrkesexamina på avancerad nivå, Matematiska institutionen

   Författare :Deniz Kaya; [2011]
   Nyckelord :multi-asset American options; Parallel Computing; Finite Element Method-of-lines; Projected Successive Over Relaxation for American option pricing;

   Sammanfattning : There is the need for applying numerical methods to problems that cannot be solved analytically and as the spatial dimension of the problem is increased the need for computational recourses increase exponentially, a phenomenon known as the “curse of dimensionality”. In the Black-Scholes-Merton framework the American option pricing problem has no closed form solution and a numerical procedure has to be employed for solving a PDE. LÄS MER