Sökning: "discrete dividends"
Hittade 5 uppsatser innehållade orden discrete dividends.
- Master-uppsats, Lunds universitet/Matematisk statistik
Sammanfattning : We describe the Fourier-Gauss-Laguerre and Fourier cosine series method and test them extensively in four models: Black- Scholes, Black-Scholes with discrete dividends, Heston and Bates. While both methods mostly achieve good accuracy and high computational speed, problems may arise with respect to the optimal choice of the method-specific parameters and the extension of the methods to other models and financial products. LÄS MER
- Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Avdelningen för beräkningsvetenskap
Sammanfattning : An assembled algorithm for pricing American options with absolute, discrete dividends using adaptive lattice methods is described. Considerations for hardware-conscious programming on both CPU and GPU platforms are discussed, to provide a foundation for the investigation of several approaches for deploying the program onto GPU architectures. LÄS MER
- Master-uppsats, KTH/Numerisk analys, NA
Sammanfattning : When pricing american option with discrete cash dividends standard tree techniques are insufficient. J. W. Nieuwenhuis and M. LÄS MER
4. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiationMaster-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi
Sammanfattning : In this master thesis we have examined the possibility of pricing multiple American options, on an underlying asset with discrete dividends, with a finite difference method. We have found a good and stable way to price one American option by solving the BSM PDE backwards, while also calculating the Greeks of the option with automatic differentiation. LÄS MER
- Magister-uppsats, Mälardalens högskola/Institutionen för matematik och fysik
Sammanfattning : AbstractThe aim of this paper is to implement and create a Java applet that performs the simulation of Fu and Hu model .The graphical result is presented on how investor can handle an American call option with discrete dividends paying stock. LÄS MER