Search for dissertations about: "American options"
Showing result 1 - 5 of 28 swedish dissertations containing the words American options.
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1. On the pricing equations of some path-dependent options
Abstract : This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. READ MORE
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2. Selected Problems in Financial Mathematics
Abstract : This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. READ MORE
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3. Properties of American and Russian options
Abstract : .... READ MORE
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4. Valuation and Optimal Strategies in Markets Experiencing Shocks
Abstract : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. READ MORE
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5. 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
Abstract : Conditions, which provide a one-threshold structure for optimal stopping strategies for American type options, are given.... READ MORE