Sökning: "early exercise boundary"

Hittade 5 uppsatser innehållade orden early exercise boundary.

  1. 1. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility

    Uppsats för yrkesexamina på grundnivå, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Danny Zina; [2020]
    Nyckelord :Pricing American Options; Early Exercise Boundary; Markov-Modulated Volatility; Switching-State Volatility; Extended CRR Model.;

    Sammanfattning : The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. 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. On the Signi cance of Capturing the Early Exercise Boundary for the American Put Price

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Kushtrim Bajqinca; [2017-07-25]
    Nyckelord :American put option; Analytical approximation; Early exercise boundary;

    Sammanfattning : I show that the three-piece exponential boundary by Ju (1998) accurately 'tracks' the early exercise boundary. This results in more accurate option pricing than other comparable methods. LÄS MER

  5. 4. Operator Splitting Techniques for American Type of Floating Strike Asian Option

    Magister-uppsats, Tillämpad matematik och fysik (MPE-lab)

    Författare :Michal Takac; [2011]
    Nyckelord :Financial Mathematics; operator splitting; Asian Options;

    Sammanfattning : In this thesis we investigate Asian oating strike options. We particu-larly focus on options with early exercise - American options. This typeof options are very lucrative to the end-users of commodities or ener-gies who are tend to be exposed to the average prices over time. LÄS MER

  7. 5. Pricing American options using approximations by Kim integral equations

    M1-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Dmytro Sheludchenko; Daria Novoderezhkina; [2011]
    Nyckelord :American options; early exercise boundary; optimal exercise; feasible non-optimal exercise strategy; integral equations; approximations; numerical procedures.;

    Sammanfattning : The purpose of this thesis is to look into the difficulty of valuing American options, put as well as call, on an asset that pays continuous dividends. The authors are willing to demonstrate how mentioned above securities can be priced using a simple approximation of the Kim integral equations by quadrature formulas. LÄS MER