PRICING AN AMERICAN CALL ON DEVIDEND PAYING STOCK
Detta är en Magister-uppsats från Institutionen för matematik och fysik
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. The technical of stochastic approximation algorithm is used to obtain the gradient, step size and observation length. The thesis is based on Fu and Hu model (2005).
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