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Hittade 5 uppsatser som matchar ovanstående sökkriterier.

  1. 1. A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Benjamin Kraska; [2015]
    Nyckelord :Mathematics and Statistics;

    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

  3. 2. Pricing of American Options by Adaptive Tree Methods on GPUs

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Avdelningen för beräkningsvetenskap

    Författare :Jacob Lundgren; [2015]
    Nyckelord :GPU; Graphics Processing Unit; American Options; Computer Hardware; High Performance Computing; Computational Finance; Scientific Computing; Mathematical Finance; Parallel Programming;

    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

  4. 3. Adaptive tree techniques in option pricing

    Master-uppsats, KTH/Numerisk analys, NA

    Författare :Walter Nordström; [2015]
    Nyckelord :;

    Sammanfattning : When pricing american option with discrete cash dividends standard tree techniques are insufficient. J. W. Nieuwenhuis and M. LÄS MER

  5. 4. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :David Hjelmberg; Björn Lagerström; [2014]
    Nyckelord :American options; BSM PDE; discrete dividends; forward PDE; local volatility surface; automatic differentiation;

    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

  7. 5. PRICING AN AMERICAN CALL ON DEVIDEND PAYING STOCK

    Magister-uppsats, Institutionen för matematik och fysik

    Författare :Peter Malosha; [2007]
    Nyckelord :MATHEMATICS APPLIED MATHEMATICS;

    Sammanfattning : Abstract The 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