Search for dissertations about: "American option"

Showing result 1 - 5 of 32 swedish dissertations containing the words American option.

  2. 1. Semi-Markov Models for Insurance and Option Rewards

    Author : Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

    Abstract : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. READ MORE

  4. 2. Convergence of Option Rewards

    Author : Robin Lundgren; Dmitrii Silvestrov; Kimmo Eriksson; Anatoliy Malyarenko; Johan Tysk; Mälardalens högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Applied mathematics; Tillämpad matematik; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : This thesis consists of an introduction and five articles devoted to optimal stopping problems of American type options. In article A, we get general convergence results for the American option rewards for multivariate Markov price processes. These results are used to prove convergence of tree approximations presented in papers A, B, C and E. READ MORE

  5. 3. Accurate Finite Difference Methods for Option Pricing

    Author : Jonas Persson; Lina von Sydow; Per Lötstedt; Johan Tysk; Jari Toivanen; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Finite differences; Option pricing; Adaptive methods; Numerical Analysis; Numerisk analys;

    Abstract : Stock options are priced numerically using space- and time-adaptive finite difference methods. European options on one and several underlying assets are considered. These are priced with adaptive numerical algorithms including a second order method and a more accurate method. READ MORE

  6. 4. Supplement to the paper "Threshold structure of optimal stopping domains for American type options" : Theory of Stochastic Processes, v. 8(24), no. 1-2 (2002), 170-177

    Author : H. Jönsson; A.G. Kukush; D. Silvestrov; Mälardalens högskola; []
    Keywords : American type option; optimal stopping strategy;

    Abstract : Conditions, which provide a one-threshold structure for optimal stopping strategies for American type options, are given.... READ MORE

  7. 5. Optimal Stopping and Model Robustness in Mathematical Finance

    Author : Henrik Wanntorp; Johan Tysk; Svante Janson; Boualem Djehiche; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Optimal stopping; model robustness; American options; free boundary problems; hedging; option pricing; Mathematical statistics; Matematisk statistik;

    Abstract : Optimal stopping and mathematical finance are intimately connected since the value of an American option is given as the solution to an optimal stopping problem. Such a problem can be viewed as a game in which we are trying to maximize an expected reward. READ MORE