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Showing 1 to 6 of 6 for “"American option"”.
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Forward and inverse American option pricing via a complementarity approach
… 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 the …
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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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Pricing methods for American options
… of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered. These are Lattice Methods, Analytic Approximations and Monte Carlo Simulation. Methods will be contrasted in terms of accuracy and speed of the computed American option price. …
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Optimal Bond Refunding: Evidence From the Municipal Bond Market
… bonds. Callable bonds contain embedded call options by virtue of provisions in bond indentures that permit the issuing firm to buy back the bond at a predetermined strike price. Such an embedded American call option has two components to its value, the intrinsic value and the time value. The …
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ON DERIVATIVES AND DERIVATIVES PRICING
… paper also discussed briefly on the traditional option pricing methods like Binomial tree and Black-Schoes but the focus is on the 2 algorithms to price American options – which most banks have yet found an efficient way to price. From the simulation results, we could see the Longstaff Least …