Search for dissertations about: "American options"

Showing result 11 - 15 of 28 swedish dissertations containing the words American options.

  2. 11. Structural studies of optimal stopping domains of American type call options

    Author : Henrik Jönsson; Mälardalens högskola; []
    Keywords : ;

    Abstract : .... READ MORE

  4. 12. Optimal Stopping Domains and Reward Functions for Discrete Time American Type Options

    Author : Henrik Jönsson; Dmitrii Silvestrov; Paavo Salminen; Mälardalens högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

    Abstract : Avhandlingen behandlar problemet att välja tidpunkt för att lösa in en amerikansk option. En amerikansk option ger ägaren rätten att köpa eller sälja en underliggande vara för ett fast pris, kallat lösenpriset, fram till och med en förbestämd tid, den så kallade slutdagen. READ MORE

  5. 13. Radial basis function methods for pricing multi-asset options

    Author : Victor Shcherbakov; Elisabeth Larsson; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

    Abstract : The price of an option can under some assumptions be determined by the solution of the Black–Scholes partial differential equation. Often options are issued on more than one asset. In this case it turns out that the option price is governed by the multi-dimensional version of the Black–Scholes equation. READ MORE

  6. 14. 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

  7. 15. Optimal Stopping and Convergence of Option Rewards

    Author : Robin Lundgren; Dmitrii Silvestrov; Anatoliy Malyarenko; Kimmo Eriksson; Erik Ekström; Mälardalens högskola; []
    Keywords : ;

    Abstract : This thesis is based on two articles devoted to optimal stopping problems of American type options. In article A, we study the problem of optimal reselling for European options. The problem can be transformed to the problem of exercising an American option with two underlying. READ MORE