Sökning: "multi-asset American options"
Hittade 2 uppsatser innehållade orden multi-asset American options.
1. Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach
Uppsats för yrkesexamina på avancerad nivå, Matematiska institutionenSammanfattning : 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
2. Pricing Some American Multi-Asset Options
Master-uppsats, Matematiska institutionenSammanfattning : .... LÄS MER
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