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Showing 1 to 4 of 4 for “"American Option Pricing"”.
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Forward and inverse American option pricing via a complementarity approach
… three topics. The first part discusses the pricing of American options under a local volatility model and two jump diffusion models: Kou's jump diffusion model and the Dupire system. In Chapter 2, we establish partial differential complementarity systems for pricing American options under …
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European and American Option Pricing with a Geometric Markov Renewal Process Underlying Asset Model
We present methods for pricing of American and European options under a Geometric Markov Renewal Process (GMRP) as the underlying asset model. We provide a detailed overview of the GMRP. Discussions of Markov processes, Geometric Brownian Motion, and GMRP approximation techniques are presented. We …
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THE APPLICATION OF STOCHASTIC MESH METHOD IN BSDES
… with the review of stochastic mesh method in American option pricing. Then we introduce BSDEs briefly, and by deducing the drivers and recursion in BSDEs, finally we apply stochastic mesh method to BSDEs. Numerical results are presented, of stochastic mesh method in both American option …
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ON DERIVATIVES AND DERIVATIVES PRICING
… definition, the different types, the uses, the pricing methods and the trading process of derivatives. It explains and evaluates the two different ways private banks deal with derivatives products: the closed architecture where a bank sources for the derivatives in-house or with internal …