Sökning: "trinomial method"

Hittade 3 avhandlingar innehållade orden trinomial method.

  1. 1. On the pricing of barrier options and related problems

    Författare :Per Hörfelt; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; barrier options; discrete barrier options; rabate options; Brownian motion; heavy traffic approximation; random walk; trinomial method; explicit finite difference method; heat equation; discrete barrier options;

    Sammanfattning : .... LÄS MER

  3. 2. A Cubature Method for Solving Stochastic Equations : A Modern Monte-Carlo Approach with Applications to Financial Market

    Författare :Hossein Nohrouzian; Anatoliy Malyarenko; Ying Ni; Christopher Engström; Viktor Abramov; Mälardalens universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : Before the financial crisis started in 2007, there were no significant spreads between the forward rate curves constructed either using the market quotes of overnight indexed swaps or those of forward rate agreements. After the crisis, we observe such spreads in the form of forward spread curves. 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