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Showing 1 to 19 of 19 for “"American options"”.
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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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Gaussian process regression approach to pricing multi-asset American options
This dissertation explores the problem of pricing American options in high dimensions using machine learning. In particular, the Gaussian Process Regression Monte Carlo (GPR-MC) algorithm developed by Goudenege et al (2019). is explored, and ` its performance, i.e., its accuracy and efficiency, is …
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The cost of using misspecified models to exercise and hedge American options on coupon bearing bonds
… using single-factor models to exercise and hedge American options on South African coupon bearing bonds, when the simulated market term structure is driven by a two-factor model. Even if the single factor models are re-calibrated on a daily basis to the term structure, we find that the exercise …
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Numerical singular perturbation approaches based on spline approximation methods for solving problems in computational finance
Options are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be …
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Numerical Solutions to PDE Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
… Black-Scholes risk-free PDE, for European and American options, and show how this numerical solution approach is extendable to solve the risky PDE for the value of the same derivative using the same finite-difference scheme and algorithm. Also, we present numerical solutions to valuation …
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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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Nonparametric and Parametric Analyses on the Forward Rate Volatilities and Their Implications on Interest Rate Options Pricing
… both in capturing the volatility movement and in American options pricing.
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Pricing American/Bermudan-style Options under Stochastic Volatility
A method to price American options under a stochastic volatility framework is introduced which is based on Rambharat and Brockwell (2010). We price American options under the Heston and Bates stochastic volatility models where volatility is assumed to be a latent process. The pricing algorithm is …
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Essays in financial engineering
… we study problems in portfolio optimization and options pricing. The first essay is motivated by the fact that derivative securities are equivalent to specific dynamic trading strategies in complete markets. This suggests the possibility of constructing buy-and-hold portfolios of options that …
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A study on the effect of dilutions and buybacks on the pricing of equity and stock based claims using a finite difference mesh
… to investigate the differences in pricing options on a fixed portion of equity and options linked to the share price, as well as implications for American options on equity.
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Default-free bond futures and options on default-free bond futures: Theoretical and empirical investigation
… behaviors of default-free bond futures and American options on default-free bond futures based on the framework of Brennan and Schwartz (1979). In their model, the state space of interest-rate-dependent claims is spanned by the instantaneous spot interest rate and the long-term consol rate. …
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Functional quantization-based stratified sampling
… of functional stratification is then extended to options written on multiple stocks and American options priced using the Longstaff-Schwartz method. To illustrate the gains in performance we focus on geometric brownian motion (GBM), constant elasticity of variance (CEV) and constant elasticity of …
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A Study in the Modeling of Stock Options
… asset. Some examples of derivatives are options, futures and swaps. In this work we talk exclusively about options. There are many different type of options, for example, call, put, American options, European options, barrier options and many more. The valuation of these options poses an …
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Graphical analysis of hard-to-borrow stocks
… dividend curve can be used to analyze the options which are hard to borrow. We used the python as our tool for dealing with the financial data taken from the yahoo finance, since it helps in minimizing the memory usage for the data storage. Our main interest was to work with hard to …
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Topics on option valuation and model calibration
… given. Practically, different types of options in commonly used L´evy process models could be priced through this method fast and accurately. Also, sensitivity analysis could be conducted through this approach effectively. Numerical results show that the schemes are effective for both …
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ON DERIVATIVES AND DERIVATIVES PRICING
… 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 Monte Carlo simulation method performs well for short horizon, less discretization cases. When the maturity …
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Novel fitted schemes based on mimetic finite difference method for options pricing
… of derivative securities such as European options, the underlying PDE, the so called Black-Scholes equation, is known to have a closed-form solution when the coefficients are constant. In the case of an American put option, however, there is no analytical solution, even for constant …
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Approximate dynamic programming for large scale systems
… with applications to pricing of high-dimensional American options. We introduce the pathwise optimization (PO) method: a new convex optimization procedure to produce upper and lower bounds on the optimal value (the `price') of high-dimensional optimal stopping problems. The PO method builds on a …