Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"Early Exercise"”.
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Three Essays on Individual Investors’ Early Exercise Behavior in the Fixed-Income Market
Diese Arbeit untersucht, wie Privatinvestoren vorzeitige Kündigungsrechte in strukturierten Zinsprodukten nutzen. Als Grundlage für die Analyse dient hierbei ein neuartiger, nicht öffentlich verfügbarer Datensatz, der über einen Zeitraum von circa 13 Jahren Entscheidungen von mehr als 800.000 …
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Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model
… expectations need to be calculated at each exercise/observation date along a continuum of the two state spaces. We examine the 2D-COS method, which makes use of Fourier-cosine expansions in each of the two dimensions in order to approximate the integrals. Using the fast Fourier transform, we …
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Real options valuation of a power generation project : a Monte Carlo approach
… forward looking nature is normally applied when early exercise is not allowed. In the real economy, this would be limiting because flexibilities that exist are not normally constrained to particular exercise dates. The Least-Squares Monte Carlo (LSM) is an approach that allows for the valuation …
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The mathematical modelling and numerical solution of options pricing problems
… scheme is implemented in the algorithm. Early exercise is also easily incorporated, the resulting linear complementarity problem can be solved using a projection or penalty method (the penalty method is shown to be slightly more efficient). Second order accuracy has been confirmed for …
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The pricing of multiple exercisable American-style real options
… also addresses the problem of tracking early exercise boundaries in pricing American-style real options. It is shown that both models provide effective numerical solutions to the free boundary problem"--Abstract, page iii.</p>
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Graphical analysis of hard-to-borrow stocks
… for the puts options. Put options have an early exercise for the American options, so considering the put options for in the money options are more interesting to analyze.
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Pricing methods for American options
… Carlo Simulation is implemented to calculate early exercise probabilities of American options in the South African market. Results are compared for both call and put options. A test set of 3550 options is simulated with parameters mirroring the South African economy. On this set, the accuracy …
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Efficient numerical methods for the valuation of American barrier options
… in these products has meant that very often, an early exercise feature is added to the contract. This makes it of particular interest to study efficient numerical methods for the valuation of American barrier options . This thesis considers three methods that have been developed to price such …
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Pricing of Swing Options: A Monte Carlo Simulation Approach
… of pricing swing options, a class of multiple early exercise options that are traded in energy market, particularly in the electricity and natural gas markets. These contracts permit the option holder to periodically exercise the right to trade a variable amount of energy with a counterparty, …
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Nitrate Consumption and Physical Function in ICU Patients
… and pair nitrate supplementation with an early exercise intervention.
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L’effet de la neurostimulation périphérique sur la douleur induite par l’exercice chez les femmes vivants avec la fibromyalgie
… training benefits fibromyalgia patients, early pain flare-ups (i.e. MEP) can hinder adherence. Transcutaneous electrical nerve stimulation (TENS) is a safe, non-pharmacological technic that provides pain relief, but its effects on MEP following resistance exercise session remain unknown. …
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Assessment of Peripheral and Central Hemodynamics During Leg Exercise With "Blood Flow Restriction"
“Blood flow restriction” (“BFR”) is a type of exercise training where a pneumatic cuff is applied to the proximal portion of an exercising limb. In “BFR”, cuff inflation to 40% of an individual’s arterial occlusion pressure (AOP; cuff pressure which fully occludes limb arterial flow at rest) is …
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A discrete-time approach for valuing real options with underlying mean-reverting stochastic processes
… facilitate the evaluation of real options with early-exercise characteristics, as well as multiple concurrent options. The models developed in this research are tested by implementing the lattice in binomial decision tree format and applying to hypothetical real option examples with underlying …
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Recursive marginal quantization: extensions and applications in finance
… pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and the efficient calibration of large derivative books. Recursive marginal quantization of an Euler scheme has recently been proposed as an efficient numerical method for …
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Dynamic optimal asset allocation with optimal stopping
… The value function can be characterized using early exercise premium representation which depends on the optimal retirement boundary. We show that immediate retirement is optimal when a state variable hits the boundary. We derive the backward recursive equation of the boundary parameterized by …
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The Black-Scholes model and the pricing of stock options in South Africa
… then adjusted to account for the possibility of early exercise. Simple regression tests are performed, where daily prices of a sample of stock options traded on the Johannesburg Stock Exchange are used as dependent variables in regression equations. Black-Scholes model prices are computed, and …