Sökning: "American option"
Visar resultat 11 - 15 av 32 avhandlingar innehållade orden American option.
11. Information and Default Risk in Financial Valuation
Sammanfattning : This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. LÄS MER
12. Optimal Stopping Domains and Reward Functions for Discrete Time American Type Options
Sammanfattning : 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. LÄS MER
13. Calibration, Optimality and Financial Mathematics
Sammanfattning : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. LÄS MER
14. PDE methods for free boundary problems in financial mathematics
Sammanfattning : We consider different aspects of free boundary problems that have financial applications. Papers I–III deal with American option pricing, in which case the boundary is called the early exercise boundary and separates the region where to hold the option from the region where to exercise it. LÄS MER
15. Waiting in real options with applications to real estate development valuation
Sammanfattning : In this thesis two dierent problems regarding real options are studied. The rst paper discusses the valuation of a timing option in an irreversible investment when the underlying model is incomplete. LÄS MER