Sökning: "European option"

Visar resultat 1 - 5 av 57 avhandlingar innehållade orden European option.

1. 1. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction

   Författare :Georgios Foufas; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; finite element method; Galerkin; duality; a posteriori error estimation; adaptivity; option pricing; Greeks; Brownian motion; European option; barrier option; lookback option; Asian option; average option; POD; model reduction; balanced truncation; lookback option;

   Sammanfattning : In this thesis we develop an adaptive finite element method for pricing of several path-dependent options including barrier options, lookback options, and Asian options. The options are priced using the Black-Scholes PDE-model, and the resulting PDE:s are of parabolic type in one spatial dimension with different boundary conditions and jump conditions at monitoring dates. LÄS MER

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

   Författare :Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
   Nyckelord :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;

   Sammanfattning : 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. LÄS MER

4. 3. Convergence of Option Rewards

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

   Sammanfattning : 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. LÄS MER

5. 4. Accurate Finite Difference Methods for Option Pricing

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

   Sammanfattning : 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. LÄS MER

7. 5. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities

   Författare :Betuel Canhanga; Sergei Sivestrov; Anatoliy Malyarenko; Ying Ni; Milica Rancic; Raimondo Manca; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Asymptotic Expansion; European Options; Stochastic Volatilities; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Sammanfattning : Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. LÄS MER