subject:(American Options)

1. Ruas, João Pedro Bento. Three essays on the valuation of American-style options.

Degree: 2013, RCAAP

URL: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6581

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Doctor in Finance/ Classificação: G13

Esta tese aborda a avaliac¸ ˜ao de opc¸ ˜oes de estilo Americano, com e sem barreira, em tr ˆes artigos… (more)

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Doctor in Finance/ Classificação: G13

Esta tese aborda a avaliac¸ ˜ao de opc¸ ˜oes de estilo Americano, com e sem barreira, em tr ˆes artigos distintos: A. Pricing and Static Hedging of American-style Options under the Jump to Default Extended CEV Model Este artigo avalia (e faz o hedging) de opc¸ ˜oes de estilo Americano atrav´es do static hedge approach (SHP) proposto por Chung and Shih (2009) e estende a literatura em duas direc¸ ˜oes. Primeiramente, o SHP ´e adaptado ao modelo jump to default extended CEV (JDCEV) de Carr and Linetsky (2006), e s˜ao avaliadas opc¸ ˜oes de estilo Americano sem barreira sobre activos com possibilidade de fal ˆ encia. A robustez e a efici ˆencia das soluc¸ ˜oes de avaliac¸ ˜ao propostas, s˜ao comparadas com o optimal stopping approach de Nunes (2009), no ˆambito dos modelos JDCEV e constant elasticity of variance (CEV) de Cox (1975), considerando diferentes valores para o parˆametro de elasticidade. Em segundo lugar, tanto o SHP como o optimal stopping approach s˜ao estendidos para a avaliac¸ ˜ao de opc¸ ˜oes de estilo Americano com um cap. B. General Put-Call Symmetry for American-style Barrier Options Este artigo deriva relac¸ ˜oes de simetria put-call para opc¸ ˜oes de estilo Americano com uma e duas barreiras. Usando a t ´ecnica de mudanc¸a de numer´ ario proposta por Geman et al. (1995) e Schroder (1999) estas simetrias s˜ao derivadas sem impor restric¸ ˜oes pr ´evias sobre o processo estoc´ astico seguido pelo activo subjacente. Os resultados s˜ao testados atrav´es de uma extensa an´ alise num´ erica sob o modelo constant elasticity of variance. C. In-Out Parity Relations and Early Exercise Boundaries for American-style Barrier Options Este artigo deriva novas relac¸ ˜oes de paridade in-out para puts de estilo Americano com uma barreira inferior e calls de estilo Americano com uma barreira superior. Mais importante, ´e proposta uma nova representac¸ ˜ao da fronteira de exerc´ıcio antecipado para opc¸ ˜oes de estilo Americano com dupla barreira knock-out, em termos da fronteira de exerc´ıcio ´optimo de uma opc¸ ˜ao de estilo Americano com uma s´o barreira. Assim sendo, o m´etodo static hedge portfolio ´e estendido para a avaliac¸ ˜ao de opc¸ ˜oes de estilo Americano com dupla barreira knock-out. Os resultados s˜ao testados atrav´es de uma extensa an´ alise num´ erica sob os modelos geometric Brownian motion e constant elasticity of variance.

This thesis addresses the valuation of American-style standard and barrier options in three separate and self-contained papers: A. Pricing and Static Hedging of American-style Options under the Jump to Default Extended CEV Model This paper prices (and hedges) American-style options through the static hedge approach (SHP) proposed by Chung and Shih (2009) and extends the literature in two directions. First, the SHP approach is adapted to the jump to default extended CEV (JDCEV) model of Carr and Linetsky (2006), and plain-vanilla American-style options on defaultable equity are priced. The robustness and efficiency of the proposed…

Advisors/Committee Members: Nunes, João Pedro, Dias, José Carlos.

Subjects/Keywords: American-style options; Barrier options; GBM model; CEV model; JDCEV model

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Ruas, J. P. B. (2013). Three essays on the valuation of American-style options. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6581

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Ruas, João Pedro Bento. “Three essays on the valuation of American-style options.” 2013. Thesis, RCAAP. Accessed March 07, 2021. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6581.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Ruas, João Pedro Bento. “Three essays on the valuation of American-style options.” 2013. Web. 07 Mar 2021.

Vancouver:

Ruas JPB. Three essays on the valuation of American-style options. [Internet] [Thesis]. RCAAP; 2013. [cited 2021 Mar 07]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6581.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ruas JPB. Three essays on the valuation of American-style options. [Thesis]. RCAAP; 2013. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6581

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Manchester

2. Gao, Min. Early exercise options with discontinuous payoff.

Degree: PhD, 2018, University of Manchester

URL: https://www.research.manchester.ac.uk/portal/en/theses/early-exercise-options-with-discontinuous-payoff(83d6dee7-dbdd-4f42-b350-48f973594feb).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.734263

► The main contribution of this thesis is to examine binary options within the British payoff mechanism introduced by Peskir and Samee. This includes British cash-or-nothing… (more)

Subjects/Keywords: 510; American options; British options; optimal stopping; free boundary problem

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APA (6^th Edition):

Gao, M. (2018). Early exercise options with discontinuous payoff. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/early-exercise-options-with-discontinuous-payoff(83d6dee7-dbdd-4f42-b350-48f973594feb).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.734263

Chicago Manual of Style (16^th Edition):

Gao, Min. “Early exercise options with discontinuous payoff.” 2018. Doctoral Dissertation, University of Manchester. Accessed March 07, 2021. https://www.research.manchester.ac.uk/portal/en/theses/early-exercise-options-with-discontinuous-payoff(83d6dee7-dbdd-4f42-b350-48f973594feb).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.734263.

MLA Handbook (7^th Edition):

Gao, Min. “Early exercise options with discontinuous payoff.” 2018. Web. 07 Mar 2021.

Vancouver:

Gao M. Early exercise options with discontinuous payoff. [Internet] [Doctoral dissertation]. University of Manchester; 2018. [cited 2021 Mar 07]. Available from: https://www.research.manchester.ac.uk/portal/en/theses/early-exercise-options-with-discontinuous-payoff(83d6dee7-dbdd-4f42-b350-48f973594feb).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.734263.

Council of Science Editors:

Gao M. Early exercise options with discontinuous payoff. [Doctoral Dissertation]. University of Manchester; 2018. Available from: https://www.research.manchester.ac.uk/portal/en/theses/early-exercise-options-with-discontinuous-payoff(83d6dee7-dbdd-4f42-b350-48f973594feb).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.734263

University of Southern California

3. Wu, Hao. Effect of basis functions in least-squares Monte Carlo (LSM) for pricing options.

Degree: MS, Applied Mathematics, 2014, University of Southern California

URL: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/379998/rec/2174

► In modern financial world, it is one of the most challenging problems to valuate American-style options. Finite difference methods could be used only if the… (more)

Subjects/Keywords: least‐squares Monte Carlo (LSM); basis functions; American options; European options

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Wu, H. (2014). Effect of basis functions in least-squares Monte Carlo (LSM) for pricing options. (Masters Thesis). University of Southern California. Retrieved from http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/379998/rec/2174

Chicago Manual of Style (16^th Edition):

Wu, Hao. “Effect of basis functions in least-squares Monte Carlo (LSM) for pricing options.” 2014. Masters Thesis, University of Southern California. Accessed March 07, 2021. http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/379998/rec/2174.

MLA Handbook (7^th Edition):

Wu, Hao. “Effect of basis functions in least-squares Monte Carlo (LSM) for pricing options.” 2014. Web. 07 Mar 2021.

Vancouver:

Wu H. Effect of basis functions in least-squares Monte Carlo (LSM) for pricing options. [Internet] [Masters thesis]. University of Southern California; 2014. [cited 2021 Mar 07]. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/379998/rec/2174.

Council of Science Editors:

Wu H. Effect of basis functions in least-squares Monte Carlo (LSM) for pricing options. [Masters Thesis]. University of Southern California; 2014. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/379998/rec/2174

University of Sydney

4. Tiplea, Ana Camelia. Super-replication of American Options in an Uncertain Volatility Model .

Degree: 2019, University of Sydney

URL: http://hdl.handle.net/2123/20815

► We study the pricing of multi-asset American derivatives in an Uncertain Volatility model for general payoffs. We apply stochastic optimal control techniques and viscosity theory… (more)

Subjects/Keywords: American options; uncertain volatility; super-replication

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Tiplea, A. C. (2019). Super-replication of American Options in an Uncertain Volatility Model . (Thesis). University of Sydney. Retrieved from http://hdl.handle.net/2123/20815

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Tiplea, Ana Camelia. “Super-replication of American Options in an Uncertain Volatility Model .” 2019. Thesis, University of Sydney. Accessed March 07, 2021. http://hdl.handle.net/2123/20815.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Tiplea, Ana Camelia. “Super-replication of American Options in an Uncertain Volatility Model .” 2019. Web. 07 Mar 2021.

Vancouver:

Tiplea AC. Super-replication of American Options in an Uncertain Volatility Model . [Internet] [Thesis]. University of Sydney; 2019. [cited 2021 Mar 07]. Available from: http://hdl.handle.net/2123/20815.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tiplea AC. Super-replication of American Options in an Uncertain Volatility Model . [Thesis]. University of Sydney; 2019. Available from: http://hdl.handle.net/2123/20815

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

5. Karlsson, Jesper. Pricing of European- and American-style Asian Options using the Finite Element Method.

Degree: Physics, 2018, Umeå University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-150290

► An option is a contract between two parties where the holder has the option to buy or sell some underlying asset after a predeﬁned… (more)

Subjects/Keywords: Option pricing; ﬁnite element; streamline-diﬀusion; penalty method; projected successive over-relaxation; Asian options; American-style Asian options; Eurasian options; Amerasian options; Computational Mathematics; Beräkningsmatematik

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Karlsson, J. (2018). Pricing of European- and American-style Asian Options using the Finite Element Method. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-150290

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Karlsson, Jesper. “Pricing of European- and American-style Asian Options using the Finite Element Method.” 2018. Thesis, Umeå University. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-150290.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Karlsson, Jesper. “Pricing of European- and American-style Asian Options using the Finite Element Method.” 2018. Web. 07 Mar 2021.

Vancouver:

Karlsson J. Pricing of European- and American-style Asian Options using the Finite Element Method. [Internet] [Thesis]. Umeå University; 2018. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-150290.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Karlsson J. Pricing of European- and American-style Asian Options using the Finite Element Method. [Thesis]. Umeå University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-150290

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

6. Terenzi, Giulia. Option prices in stochastic volatility models : Prix d’options dans les modèles à volatilité stochastique.

Degree: Docteur es, Mathématiques, 2018, Université Paris-Est

URL: http://www.theses.fr/2018PESC1132

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L’objet de cette thèse est l’étude de problèmes d’évaluation d’options dans les modèles à volatilité stochastique. La première partie est centrée sur les options américaines… (more)

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L’objet de cette thèse est l’étude de problèmes d’évaluation d’options dans les modèles à volatilité stochastique. La première partie est centrée sur les options américaines dans le modèle de Heston. Nous donnons d’abord une caractérisation analytique de la fonction de valeur d’une option américaine comme l’unique solution du problème d’obstacle parabolique dégénéré associé. Notre approche est basée sur des inéquations variationelles dans des espaces de Sobolev avec poids étendant les résultats récents de Daskalopoulos et Feehan (2011, 2016) et Feehan et Pop (2015). On étudie aussi les propriétés de la fonction de valeur d’une option américaine. En particulier, nous prouvons que, sous des hypothèses convenables sur le payoff, la fonction de valeur est décroissante par rapport à la volatilité. Ensuite nous nous concentrons sur le put américaine et nous étendons quelques résultats qui sont bien connus dans le monde Black-Scholes. En particulier nous prouvons la convexité stricte de la fonction de valeur dans la région de continuation, quelques propriétés de la frontière libre, la formule de Prime d’Exercice Anticipée et une forme faible de la propriété du smooth fit. Les techniques utilisées sont de type probabiliste. Dans la deuxième partie nous abordons le problème du calcul numérique du prix des options européennes et américaines dans des modèles à volatilité stochastiques et avec sauts. Nous étudions d’abord le modèle de Bates-Hull-White, c’est-à-dire le modèle de Bates avec un taux d’intérêt stochastique. On considère un algorithme hybride rétrograde qui utilise une approximation par chaîne de Markov (notamment un arbre “avec sauts multiples”) dans la direction de la volatilité et du taux d’intérêt et une approche (déterministe) par différence finie pour traiter le processus de prix d’actif. De plus, nous fournissons une procédure de simulation pour des évaluations Monte Carlo. Les résultats numériques montrent la fiabilité et l’efficacité de ces méthodes. Finalement, nous analysons le taux de convergence de l’algorithme hybride appliqué à des modèles généraux de diffusion avec sauts. Nous étudions d’abord la convergence faible au premier ordre de chaînes de Markov vers la diffusion sous des hypothèses assez générales. Ensuite nous prouvons la convergence de l’algorithme: nous étudions la stabilité et la consistance de la méthode hybride par une technique qui exploite les caractéristiques probabilistes de l’approximation par chaîne de Markov

We study option pricing problems in stochastic volatility models. In the first part of this thesis we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic obstacle problem. Our approach is based on variational inequalities in suitable weighted Sobolev spaces and extends recent results of Daskalopoulos and Feehan (2011, 2016) and Feehan and Pop (2015). We also investigate the properties of the American value function. In…

Advisors/Committee Members: Lamberton, Damien (thesis director).

Subjects/Keywords: Options américaines; Approximation par arbres; Différences finies; Options européennes; Problèmes paraboliques d'eg'en'er'es; European options; American options; Degenerate parabolic problems; Tree methods; Prix d'options en modèles à la volatilité stochastique

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Terenzi, G. (2018). Option prices in stochastic volatility models : Prix d’options dans les modèles à volatilité stochastique. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2018PESC1132

Chicago Manual of Style (16^th Edition):

Terenzi, Giulia. “Option prices in stochastic volatility models : Prix d’options dans les modèles à volatilité stochastique.” 2018. Doctoral Dissertation, Université Paris-Est. Accessed March 07, 2021. http://www.theses.fr/2018PESC1132.

MLA Handbook (7^th Edition):

Terenzi, Giulia. “Option prices in stochastic volatility models : Prix d’options dans les modèles à volatilité stochastique.” 2018. Web. 07 Mar 2021.

Vancouver:

Terenzi G. Option prices in stochastic volatility models : Prix d’options dans les modèles à volatilité stochastique. [Internet] [Doctoral dissertation]. Université Paris-Est; 2018. [cited 2021 Mar 07]. Available from: http://www.theses.fr/2018PESC1132.

Council of Science Editors:

Terenzi G. Option prices in stochastic volatility models : Prix d’options dans les modèles à volatilité stochastique. [Doctoral Dissertation]. Université Paris-Est; 2018. Available from: http://www.theses.fr/2018PESC1132

Universitat Politècnica de València

7. Egorova, Vera. Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing .

Degree: 2016, Universitat Politècnica de València

URL: http://hdl.handle.net/10251/68501

► [EN] The present PhD thesis is focused on numerical analysis and computing of finite difference schemes for several relevant option pricing models that generalize the… (more)

▼ [EN] The present PhD thesis is focused on numerical analysis and computing of finite difference schemes for several relevant option pricing models that generalize the Black-Scholes model. A careful analysis of desirable properties for the numerical solutions of option pricing models as the positivity, stability and consistency, is provided. In order to handle the free boundary that arises in American option pricing problems, various transformation techniques based on front-fixing method are applied and studied. Special attention is paid to multi-asset option pricing, such as exchange or spread option. Appropriate transformation allows eliminating of the cross derivative term. Transformation techniques of partial differential equations to remove convection and reaction terms are studied in order to simplify the models and avoid possible troubles of stability. This thesis consists of six chapters. The first chapter is an introduction containing definitions of option and related terms and derivation of the Black-Scholes equation as well as general aspects of theory of finite difference schemes, including preliminaries on numerical analysis. Chapter 2 is devoted to solve linear Black-Scholes model for American put and call options. A Landau transformation and a new front-fixing transformation are applied to the free boundary value problem. It leads to non-linear partial differential equation (PDE) in a fixed domain. Stable and consistent explicit numerical schemes are proposed preserving positivity and monotonicity of the solution in accordance with the behaviour of the exact solution. Efficiency of the front-fixing method demonstrated in Chapter 2 has motivated us to apply the method to some more complicated nonlinear models. A new change of variables resulting in a time dependent boundary instead of fixed one, is applied to nonlinear Black-Scholes model for American options, such as Barles and Soner and Risk Adjusted Pricing models. Chapter 4 provides a new alternative approach for solving American option pricing problem based on rationality of investor. There exists an intensity function that can be reduced in the simplest case to penalty approach. Chapter 5 deals with multi-asset option pricing. Appropriate transformation allows eliminating of the cross derivative term avoiding computational drawbacks and possible troubles of stability. Concluding remarks are given in Chapter 6. All the considered models and numerical methods are accompanied by several examples and simulations. The convergence rate is computed confirming the theoretical study of consistency. Stability conditions are tested by numerical examples. Results are compared with known relevant methods in the literature showing efficiency of the proposed methods.; [ES] La presente tesis doctoral se centra en la construcción de esquemas en diferencias finitas y el análisis numérico de relevantes modelos de valoración de opciones que generalizan el modelo de Black-Scholes. Se proporciona un análisis cuidadoso de las propiedades de las soluciones… Advisors/Committee Members: Company Rossi, Rafael (advisor), Jódar Sánchez, Lucas Antonio (advisor).

Subjects/Keywords: Finite-difference methods; Numerical analysis; American options; Front-fixing method

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Egorova, V. (2016). Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing . (Doctoral Dissertation). Universitat Politècnica de València. Retrieved from http://hdl.handle.net/10251/68501

Chicago Manual of Style (16^th Edition):

Egorova, Vera. “Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing .” 2016. Doctoral Dissertation, Universitat Politècnica de València. Accessed March 07, 2021. http://hdl.handle.net/10251/68501.

MLA Handbook (7^th Edition):

Egorova, Vera. “Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing .” 2016. Web. 07 Mar 2021.

Vancouver:

Egorova V. Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing . [Internet] [Doctoral dissertation]. Universitat Politècnica de València; 2016. [cited 2021 Mar 07]. Available from: http://hdl.handle.net/10251/68501.

Council of Science Editors:

Egorova V. Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing . [Doctoral Dissertation]. Universitat Politècnica de València; 2016. Available from: http://hdl.handle.net/10251/68501

8. Abbas-Turki, Lokman. Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance.

Degree: Docteur es, Mathématiques, 2012, Université Paris-Est

URL: http://www.theses.fr/2012PEST1055

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De ce fait, le premier objectif de notre travail consiste à proposer des générateurs de nombres aléatoires appropriés pour des architectures parallèles et massivement parallèles… (more)

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De ce fait, le premier objectif de notre travail consiste à proposer des générateurs de nombres aléatoires appropriés pour des architectures parallèles et massivement parallèles de clusters de CPUs/GPUs. Nous testerons le gain en temps de calcul et l'énergie consommée lors de l'implémentation du cas linéaire du pricing européen. Le deuxième objectif est de reformuler le problème non-linéaire du pricing américain pour que l'on puisse avoir des gains de parallélisation semblables à ceux obtenus pour les problèmes linéaires. La méthode proposée fondée sur le calcul de Malliavin est aussi plus avantageuse du point de vue du praticien au delà même de l'intérêt intrinsèque lié à la possibilité d'une bonne parallélisation. Toujours dans l'objectif de proposer des algorithmes parallèles, le dernier point est l'étude de l'unicité de la solution de certains cas linéaires inverses en finance. Cette unicité aide en effet à avoir des algorithmes simples fondés sur Monte Carlo

Handling multidimensional parabolic linear, nonlinear and linear inverse problems is the main objective of this work. It is the multidimensional word that makes virtually inevitable the use of simulation methods based on Monte Carlo. This word also makes necessary the use of parallel architectures. Indeed, the problems dealing with a large number of assets are major resources consumers, and only parallelization is able to reduce their execution times. Consequently, the first goal of our work is to propose "appropriate" random number generators to parallel and massively parallel architecture implemented on CPUs/GPUs cluster. We quantify the speedup and the energy consumption of the parallel execution of a European pricing. The second objective is to reformulate the nonlinear problem of pricing American options in order to get the same parallelization gains as those obtained for linear problems. In addition to its parallelization suitability, the proposed method based on Malliavin calculus has other practical advantages. Continuing with parallel algorithms, the last point of this work is dedicated to the uniqueness of the solution of some linear inverse problems in finance. This theoretical study enables the use of simple methods based on Monte Carlo

Advisors/Committee Members: Lamberton, Damien (thesis director).

Subjects/Keywords: Options Américaines; Calcul de Malliavin; Réduction de variance; Calibration; American Options; Malliavin Calculus; Variance Reduction; Calibration

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Abbas-Turki, L. (2012). Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2012PEST1055

Chicago Manual of Style (16^th Edition):

Abbas-Turki, Lokman. “Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance.” 2012. Doctoral Dissertation, Université Paris-Est. Accessed March 07, 2021. http://www.theses.fr/2012PEST1055.

MLA Handbook (7^th Edition):

Abbas-Turki, Lokman. “Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance.” 2012. Web. 07 Mar 2021.

Vancouver:

Abbas-Turki L. Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance. [Internet] [Doctoral dissertation]. Université Paris-Est; 2012. [cited 2021 Mar 07]. Available from: http://www.theses.fr/2012PEST1055.

Council of Science Editors:

Abbas-Turki L. Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance. [Doctoral Dissertation]. Université Paris-Est; 2012. Available from: http://www.theses.fr/2012PEST1055

Linköping University

9. Hjelmberg, David. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation.

Degree: Production Economics, 2014, Linköping University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-110875

► In this master thesis we have examined the possibility of pricing multiple American options, on an underlying asset with discrete dividends, with a finite… (more)

Subjects/Keywords: American options; BSM PDE; discrete dividends; forward PDE; local volatility surface; automatic differentiation

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Hjelmberg, D. (2014). Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation. (Thesis). Linköping University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-110875

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Hjelmberg, David. “Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation.” 2014. Thesis, Linköping University. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-110875.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Hjelmberg, David. “Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation.” 2014. Web. 07 Mar 2021.

Vancouver:

Hjelmberg D. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation. [Internet] [Thesis]. Linköping University; 2014. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-110875.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hjelmberg D. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation. [Thesis]. Linköping University; 2014. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-110875

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Illinois – Urbana-Champaign

10. Nawaz, Tayyab. Graphical analysis of hard-to-borrow stocks.

Degree: MS, 0439, 2013, University of Illinois – Urbana-Champaign

URL: http://hdl.handle.net/2142/44814

► We study the graphical analysis for hard to borrow stocks i.e., stock with some constraints such as short selling. The main purpose of this graphical… (more)

Subjects/Keywords: hard to borrow stocks; implied dividend yield curve; dynamic programming; American options

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Nawaz, T. (2013). Graphical analysis of hard-to-borrow stocks. (Thesis). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/44814

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Nawaz, Tayyab. “Graphical analysis of hard-to-borrow stocks.” 2013. Thesis, University of Illinois – Urbana-Champaign. Accessed March 07, 2021. http://hdl.handle.net/2142/44814.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Nawaz, Tayyab. “Graphical analysis of hard-to-borrow stocks.” 2013. Web. 07 Mar 2021.

Vancouver:

Nawaz T. Graphical analysis of hard-to-borrow stocks. [Internet] [Thesis]. University of Illinois – Urbana-Champaign; 2013. [cited 2021 Mar 07]. Available from: http://hdl.handle.net/2142/44814.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Nawaz T. Graphical analysis of hard-to-borrow stocks. [Thesis]. University of Illinois – Urbana-Champaign; 2013. Available from: http://hdl.handle.net/2142/44814

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Uppsala University

11. Kaya, Deniz. Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach.

Degree: Mathematics, 2011, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155546

► There is the need for applying numerical methods to problems that cannot be solved analytically and as the spatial dimension of the problem is… (more)

Subjects/Keywords: multi-asset American options; Parallel Computing; Finite Element Method-of-lines; Projected Successive Over Relaxation for American option pricing

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APA (6^th Edition):

Kaya, D. (2011). Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155546

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Kaya, Deniz. “Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach.” 2011. Thesis, Uppsala University. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155546.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Kaya, Deniz. “Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach.” 2011. Web. 07 Mar 2021.

Vancouver:

Kaya D. Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach. [Internet] [Thesis]. Uppsala University; 2011. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155546.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kaya D. Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach. [Thesis]. Uppsala University; 2011. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155546

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

12. Calvo, Diego R. Pricing American Style Asian OptionsUsing Dynamic Programming.

Degree: Culture and Communication, 2010, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9880

The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price.

Subjects/Keywords: American Options; Asian Options; Option pricing; Java Applet; American-Asian call options pricing; Applied mathematics; Tillämpad matematik

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Calvo, D. R. (2010). Pricing American Style Asian OptionsUsing Dynamic Programming. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9880

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Calvo, Diego R. “Pricing American Style Asian OptionsUsing Dynamic Programming.” 2010. Thesis, Mälardalen University. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9880.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Calvo, Diego R. “Pricing American Style Asian OptionsUsing Dynamic Programming.” 2010. Web. 07 Mar 2021.

Vancouver:

Calvo DR. Pricing American Style Asian OptionsUsing Dynamic Programming. [Internet] [Thesis]. Mälardalen University; 2010. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9880.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Calvo DR. Pricing American Style Asian OptionsUsing Dynamic Programming. [Thesis]. Mälardalen University; 2010. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9880

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Universidade de Lisboa

13. Venâncio, Ricardo Filipe Machado. Option pricing under jump-diffusion models.

Degree: 2016, Universidade de Lisboa

URL: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/27480

►

Tese de mestrado, Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2016

Nesta tese, apresentam-se métodos para resolver numericamente equações diferenciais por forma a obter… (more)

▼

Tese de mestrado, Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2016

Nesta tese, apresentam-se métodos para resolver numericamente equações diferenciais por forma a obter preços de contractos financeiros. Em particular, dá-se ênfase a opções vanilla de estilo europeu e americano cujo activo subjacente segue um modelo de difusão com saltos. Quanto à distribuição destes útltimos, destacam-se o modelo de Merton, que considera que eles têm uma distribuição Normal, e o de Kou, onde é assumida uma dupla distribuição exponencial. Este tipo de modelos representa uma extensão dos clássicos modelos de difusão, como o famoso modelo de Black-Scholes-Merton, e tem como objectivo superar algumas das falhas inerentes a este último, tal como caudas muito curtas e picos baixos da distribuição do logaritmo dos retornos do activo, que não reflectem, em geral, o sentimento dos investores nos mercados financeiros, aliando, ao mesmo tempo, a simplicidade e eficiência dos modelos de difusão. Para alcançar o nosso objectivo, estabelece-se inicialmente qual é a equação que descreve a dinâmica do valor dos preços das opções referidas em relação a vários parâmetros, tal como o valor do preço do activo subjacente e o tempo até à maturidade. Em seguida, constróem-se partições para a resolução numérica do problema, através da discretização da função que descreve o preço do contracto financeiro por diferenças finitas. Esta abordagem é útil visto que permite obter preços de contractos cujo "payoff" não é tão simples quanto o de opções vanilla e para os quais não existem fórmulas fechadas ou semi-fechadas para o seu valor em cada momento do tempo até à sua maturidade. No final, expõem-se os resultados encontrados para diferentes resoluções das partições, comparados com referências da literatura, e apresentam-se algumas conclusões.

In this dissertation, methods to solve numerically partial differential equations in order to obtain prices for contingent claims are presented. In particular, we highlight European and American style vanilla options, whose underlying asset follows a jumpdiffusion model. For the distribution of the jumps, the Merton and Kou models are studied. The former considers these have a Normal distribution, whereas the latter assumes a double-exponential. These type of models represent an extension of the classic diffusion models, such as the famous Black-Scholes-Merton, and has the goal of overcoming its flaws, such as thin tails and low peaks in the distribution of the logarithm of the asset returns, that do not reflect the general investors sentiment in the financial markets, while maintaining the simplicity and tractability inherent to diffusion models. To accomplish our goal, an equation describing the relation of the value of the referred options on several parameters, such as the time-to-maturity and the spot value of the underlying asset is suggested. We then build partitions in order to numerically solve our problem using finite differences, discretizing the function which provides the price of…

Advisors/Committee Members: Nunes, João Pedro Vidal.

Subjects/Keywords: Option pricing; Lévy processes; Diffusion models; Jump-diffusion models; European options; American options; LU decomposition; Tridiagonal matrices; Numerical discretization; Finite differences; Teses de mestrado - 2016; Departamento de Matemática

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Venâncio, R. F. M. (2016). Option pricing under jump-diffusion models. (Thesis). Universidade de Lisboa. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/27480

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Venâncio, Ricardo Filipe Machado. “Option pricing under jump-diffusion models.” 2016. Thesis, Universidade de Lisboa. Accessed March 07, 2021. http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/27480.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Venâncio, Ricardo Filipe Machado. “Option pricing under jump-diffusion models.” 2016. Web. 07 Mar 2021.

Vancouver:

Venâncio RFM. Option pricing under jump-diffusion models. [Internet] [Thesis]. Universidade de Lisboa; 2016. [cited 2021 Mar 07]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/27480.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Venâncio RFM. Option pricing under jump-diffusion models. [Thesis]. Universidade de Lisboa; 2016. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/27480

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

14. Bouselmi, Aych. Processus de Lévy et options américaines : American options in the exponential Lévy model.

Degree: Docteur es, Mathématiques, 2013, Université Paris-Est

URL: http://www.theses.fr/2013PEST1200

►

Les marchés financiers ont connu, grâce aux études réalisées durant les trois dernières décennies, une expansion considérable et ont vu l’apparition de produits dérivés divers… (more)

Subjects/Keywords: Options américaines; Modèles exponentiels de Lévy; Vitesse de convergence du prix critique; Région d\'exercice; Inéquation variationnelle; Cva; American options; Exponetial Levy model; Free boundary

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Bouselmi, A. (2013). Processus de Lévy et options américaines : American options in the exponential Lévy model. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2013PEST1200

Chicago Manual of Style (16^th Edition):

Bouselmi, Aych. “Processus de Lévy et options américaines : American options in the exponential Lévy model.” 2013. Doctoral Dissertation, Université Paris-Est. Accessed March 07, 2021. http://www.theses.fr/2013PEST1200.

MLA Handbook (7^th Edition):

Bouselmi, Aych. “Processus de Lévy et options américaines : American options in the exponential Lévy model.” 2013. Web. 07 Mar 2021.

Vancouver:

Bouselmi A. Processus de Lévy et options américaines : American options in the exponential Lévy model. [Internet] [Doctoral dissertation]. Université Paris-Est; 2013. [cited 2021 Mar 07]. Available from: http://www.theses.fr/2013PEST1200.

Council of Science Editors:

Bouselmi A. Processus de Lévy et options américaines : American options in the exponential Lévy model. [Doctoral Dissertation]. Université Paris-Est; 2013. Available from: http://www.theses.fr/2013PEST1200

15. Jeunesse, Maxence. Etude de deux problèmes de contrôle stochastique : put americain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités : Study of two stochastic control problems : american put with discrete dividends and dynamic programming principle with expectation constraints.

Degree: Docteur es, Mathématiques, 2013, Université Paris-Est

URL: http://www.theses.fr/2013PEST1012

►

Dans cette thèse, nous traitons deux problèmes de contrôle optimal stochastique. Chaque problème correspond à une Partie de ce document. Le premier problème traité est… (more)

▼

Dans cette thèse, nous traitons deux problèmes de contrôle optimal stochastique. Chaque problème correspond à une Partie de ce document. Le premier problème traité est très précis, il s'agit de la valorisation des contrats optionnels de vente de type Américain (dit Put Américain) en présence de dividendes discrets (Partie I). Le deuxième est plus général, puisqu'il s'agit dans un cadre discret en temps de prouver l'existence d'un principe de programmation dynamique sous des contraintes en probabilités (Partie II). Bien que les deux problèmes soient assez distincts, le principe de programmation dynamique est au coeur de ces deux problèmes. La relation entre la valorisation d'un Put Américain et un problème de frontière libre a été prouvée par McKean. La frontière de ce problème a une signification économique claire puisqu'elle correspond à tout instant à la borne supérieure de l'ensemble des prix d'actifs pour lesquels il est préférable d'exercer tout de suite son droit de vente. La forme de cette frontière en présence de dividendes discrets n'avait pas été résolue à notre connaissance. Sous l'hypothèse que le dividende est une fonction déterministe du prix de l'actif à l'instant précédant son versement, nous étudions donc comment la frontière est modifiée. Au voisinage des dates de dividende, et dans le modèle du Chapitre 3, nous savons qualifier la monotonie de la frontière, et dans certains cas quantifier son comportement local. Dans le Chapitre 3, nous montrons que la propriété du smooth-fit est satisfaite à toute date sauf celles de versement des dividendes. Dans les deux Chapitres 3 et 4, nous donnons des conditions pour garantir la continuité de cette frontière en dehors des dates de dividende. La Partie II est originellement motivée par la gestion optimale de la production d'une centrale hydro-electrique avec une contrainte en probabilité sur le niveau d'eau du barrage à certaines dates. En utilisant les travaux de Balder sur la relaxation de Young des problèmes de commande optimale, nous nous intéressons plus spécifiquement à leur résolution par programmation dynamique. Dans le Chapitre 5, nous étendons au cadre des mesures de Young des résultats dûs à Evstigneev. Nous établissons alors qu'il est possible de résoudre par programmation dynamique certains problèmes avec des contraintes en espérances conditionnelles. Grâce aux travaux de Bouchard, Elie, Soner et Touzi sur les problèmes de cible stochastique avec perte contrôlée, nous montrons dans le Chapitre 6 qu'un problème avec contrainte en espérance peut se ramener à un problème avec des contraintes en espérances conditionnelles. Comme cas particulier, nous prouvons ainsi que le problème initial de la gestion du barrage peut se résoudre par programmation dynamique

In this thesis, we address two problems of stochastic optimal control. Each problem constitutes a different Part in this document. The first problem addressed is very precise, it is the valuation of American contingent claims and more specifically the American Put in the presence of discrete…

Advisors/Committee Members: Jourdain, Benjamin (thesis director).

Subjects/Keywords: Contrôle optimal stochastique; Options Américaines; Dividendes; Frontière d\'exercice; Processus de Lévy; Programmation dynamique; Stochastic optimal control; American Options; Dividends; Exercise boundary; Lévy processes; Dynamic programming

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Jeunesse, M. (2013). Etude de deux problèmes de contrôle stochastique : put americain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités : Study of two stochastic control problems : american put with discrete dividends and dynamic programming principle with expectation constraints. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2013PEST1012

Chicago Manual of Style (16^th Edition):

Jeunesse, Maxence. “Etude de deux problèmes de contrôle stochastique : put americain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités : Study of two stochastic control problems : american put with discrete dividends and dynamic programming principle with expectation constraints.” 2013. Doctoral Dissertation, Université Paris-Est. Accessed March 07, 2021. http://www.theses.fr/2013PEST1012.

MLA Handbook (7^th Edition):

Jeunesse, Maxence. “Etude de deux problèmes de contrôle stochastique : put americain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités : Study of two stochastic control problems : american put with discrete dividends and dynamic programming principle with expectation constraints.” 2013. Web. 07 Mar 2021.

Vancouver:

Jeunesse M. Etude de deux problèmes de contrôle stochastique : put americain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités : Study of two stochastic control problems : american put with discrete dividends and dynamic programming principle with expectation constraints. [Internet] [Doctoral dissertation]. Université Paris-Est; 2013. [cited 2021 Mar 07]. Available from: http://www.theses.fr/2013PEST1012.

Council of Science Editors:

Jeunesse M. Etude de deux problèmes de contrôle stochastique : put americain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités : Study of two stochastic control problems : american put with discrete dividends and dynamic programming principle with expectation constraints. [Doctoral Dissertation]. Université Paris-Est; 2013. Available from: http://www.theses.fr/2013PEST1012

University of the Western Cape

16. Sidahmed, Abdelmgid Osman Mohammed. Mesh free methods for differential models in financial mathematics .

Degree: 2011, University of the Western Cape

URL: http://hdl.handle.net/11394/1779

► Many problems in financial world are being modeled by means of differential equation. These problems are time dependent, highly nonlinear, stochastic and heavily depend on… (more)

Subjects/Keywords: Computational Finance; Option Pricing; Mesh Free Methods; Radial Basis Functions; European and American put Options; Exotic Options; Heston's Model; Free Boundary Problems; Numerical Methods; Analysis of Numerical Methods

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Sidahmed, A. O. M. (2011). Mesh free methods for differential models in financial mathematics . (Thesis). University of the Western Cape. Retrieved from http://hdl.handle.net/11394/1779

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Sidahmed, Abdelmgid Osman Mohammed. “Mesh free methods for differential models in financial mathematics .” 2011. Thesis, University of the Western Cape. Accessed March 07, 2021. http://hdl.handle.net/11394/1779.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Sidahmed, Abdelmgid Osman Mohammed. “Mesh free methods for differential models in financial mathematics .” 2011. Web. 07 Mar 2021.

Vancouver:

Sidahmed AOM. Mesh free methods for differential models in financial mathematics . [Internet] [Thesis]. University of the Western Cape; 2011. [cited 2021 Mar 07]. Available from: http://hdl.handle.net/11394/1779.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sidahmed AOM. Mesh free methods for differential models in financial mathematics . [Thesis]. University of the Western Cape; 2011. Available from: http://hdl.handle.net/11394/1779

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of the Western Cape

17. Pindza, Edson. Robust Spectral Methods for Solving Option Pricing Problems .

Degree: 2012, University of the Western Cape

URL: http://hdl.handle.net/11394/4092

► Robust Spectral Methods for Solving Option Pricing Problems by Edson Pindza PhD thesis, Department of Mathematics and Applied Mathematics, Faculty of Natural Sciences, University of… (more)

Subjects/Keywords: Financial derivatives European and American options Exotic options Jump-diffusion models Volatility models Spectral methods Rational approximations Time integration methods Penalty methods.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Pindza, E. (2012). Robust Spectral Methods for Solving Option Pricing Problems . (Thesis). University of the Western Cape. Retrieved from http://hdl.handle.net/11394/4092

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Pindza, Edson. “Robust Spectral Methods for Solving Option Pricing Problems .” 2012. Thesis, University of the Western Cape. Accessed March 07, 2021. http://hdl.handle.net/11394/4092.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Pindza, Edson. “Robust Spectral Methods for Solving Option Pricing Problems .” 2012. Web. 07 Mar 2021.

Vancouver:

Pindza E. Robust Spectral Methods for Solving Option Pricing Problems . [Internet] [Thesis]. University of the Western Cape; 2012. [cited 2021 Mar 07]. Available from: http://hdl.handle.net/11394/4092.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Pindza E. Robust Spectral Methods for Solving Option Pricing Problems . [Thesis]. University of the Western Cape; 2012. Available from: http://hdl.handle.net/11394/4092

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

18. Gao, Min. EARLY EXERCISE OPTIONS WITH DISCONTINUOUS PAYOFF.

Degree: 2017, University of Manchester

URL: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:312503

► The main contribution of this thesis is to examine binary options within the British payoff mechanism introduced by Peskir and Samee. This includes British cash-or-nothing… (more)

Subjects/Keywords: optimal stopping; free boundary problem; British options; American options

…European and the American up-in cash-or-nothing put options with parameters r = 0.1, σ = 0.4, K… …comparison for the values of the European and the American up-out cash-or-nothing put options with… …of the European and the American down-out asset-or-nothing call options with parameters r… …and American barrier binary options. We assume the geometric Brownian motion model and… …binary options of American-type which are also called ‘one-touch’ binary options. Then we move…

3 more images…

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APA (6^th Edition):

Gao, M. (2017). EARLY EXERCISE OPTIONS WITH DISCONTINUOUS PAYOFF. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:312503

Chicago Manual of Style (16^th Edition):

Gao, Min. “EARLY EXERCISE OPTIONS WITH DISCONTINUOUS PAYOFF.” 2017. Doctoral Dissertation, University of Manchester. Accessed March 07, 2021. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:312503.

MLA Handbook (7^th Edition):

Gao, Min. “EARLY EXERCISE OPTIONS WITH DISCONTINUOUS PAYOFF.” 2017. Web. 07 Mar 2021.

Vancouver:

Gao M. EARLY EXERCISE OPTIONS WITH DISCONTINUOUS PAYOFF. [Internet] [Doctoral dissertation]. University of Manchester; 2017. [cited 2021 Mar 07]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:312503.

Council of Science Editors:

Gao M. EARLY EXERCISE OPTIONS WITH DISCONTINUOUS PAYOFF. [Doctoral Dissertation]. University of Manchester; 2017. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:312503

19. Chen, Yangang. Numerical Methods for Hamilton-Jacobi-Bellman Equations with Applications.

Degree: 2019, University of Waterloo

URL: http://hdl.handle.net/10012/14947

► Hamilton-Jacobi-Bellman (HJB) equations are nonlinear controlled partial differential equations (PDEs). In this thesis, we propose various numerical methods for HJB equations arising from three specific… (more)

▼ Hamilton-Jacobi-Bellman (HJB) equations are nonlinear controlled partial differential equations (PDEs). In this thesis, we propose various numerical methods for HJB equations arising from three specific applications. First, we study numerical methods for the HJB equation coupled with a Kolmogorov-Fokker-Planck (KFP) equation arising from mean field games. In order to solve the nonlinear discretized systems efficiently, we propose a multigrid method. The main novelty of our approach is that we subtract artificial viscosity from the direct discretization coarse grid operators, such that the coarse grid error estimations are more accurate. The convergence rate of the proposed multigrid method is mesh-independent and faster than the existing methods in the literature. Next, we investigate numerical methods for the HJB formulation that arises from the mass transport image registration model. We convert the PDE of the model (a Monge-Ampère equation) to an equivalent HJB equation, propose a monotone mixed discretization, and prove that it is guaranteed to converge to the viscosity solution. Then we propose multigrid methods for the mixed discretization, where we set wide stencil points as coarse grid points, use injection at wide stencil points as the restriction, and achieve a mesh-independent convergence rate. Moreover, we propose a novel periodic boundary condition for the image registration PDE, such that when two images are related by a combination of a translation and a non-rigid deformation, the numerical scheme recovers the underlying transformation correctly. Finally, we propose a deep neural network framework for the HJB equations emerging from the study of American options in high dimensions. We convert the HJB equation to an equivalent Backward Stochastic Differential Equation (BSDE), introduce the least squares residual of the BSDE as the loss function, and propose a new neural network architecture that utilizes the domain knowledge of American options. Our proposed framework yields American option prices and deltas on the entire spacetime, not only at a given point. The computational cost of the proposed approach is quadratic in dimension, which addresses the curse of dimensionality issue that state-of-the-art approaches suffer.

Subjects/Keywords: Hamilton-Jacobi-Bellman equations; finite difference; multigrid methods; neural networks; mean field games; American options; image registration

11 more images…

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APA (6^th Edition):

Chen, Y. (2019). Numerical Methods for Hamilton-Jacobi-Bellman Equations with Applications. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/14947

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Chen, Yangang. “Numerical Methods for Hamilton-Jacobi-Bellman Equations with Applications.” 2019. Thesis, University of Waterloo. Accessed March 07, 2021. http://hdl.handle.net/10012/14947.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Chen, Yangang. “Numerical Methods for Hamilton-Jacobi-Bellman Equations with Applications.” 2019. Web. 07 Mar 2021.

Vancouver:

Chen Y. Numerical Methods for Hamilton-Jacobi-Bellman Equations with Applications. [Internet] [Thesis]. University of Waterloo; 2019. [cited 2021 Mar 07]. Available from: http://hdl.handle.net/10012/14947.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chen Y. Numerical Methods for Hamilton-Jacobi-Bellman Equations with Applications. [Thesis]. University of Waterloo; 2019. Available from: http://hdl.handle.net/10012/14947

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

20. Mohammad, Omar. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach.

Degree: Culture and Communication, 2020, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48928

► Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used… (more)

Subjects/Keywords: options; pricing; american; Monte-Carlo; Least square; heston model; stochastic; volatility; early exercise boundary volatility; Other Mathematics; Annan matematik

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APA (6^th Edition):

Mohammad, O. (2020). American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48928

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Mohammad, Omar. “American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach.” 2020. Thesis, Mälardalen University. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48928.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Mohammad, Omar. “American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach.” 2020. Web. 07 Mar 2021.

Vancouver:

Mohammad O. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach. [Internet] [Thesis]. Mälardalen University; 2020. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48928.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mohammad O. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach. [Thesis]. Mälardalen University; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48928

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

21. Sheludchenko, Dmytro. Pricing American options using approximations by Kim integral equations.

Degree: Culture and Communication, 2011, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-14366

► The purpose of this thesis is to look into the difficulty of valuing American options, put as well as call, on an asset that… (more)

Subjects/Keywords: American options; early exercise boundary; optimal exercise; feasible non-optimal exercise strategy; integral equations; approximations; numerical procedures.

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APA (6^th Edition):

Sheludchenko, D. (2011). Pricing American options using approximations by Kim integral equations. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-14366

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Sheludchenko, Dmytro. “Pricing American options using approximations by Kim integral equations.” 2011. Thesis, Mälardalen University. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-14366.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Sheludchenko, Dmytro. “Pricing American options using approximations by Kim integral equations.” 2011. Web. 07 Mar 2021.

Vancouver:

Sheludchenko D. Pricing American options using approximations by Kim integral equations. [Internet] [Thesis]. Mälardalen University; 2011. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-14366.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sheludchenko D. Pricing American options using approximations by Kim integral equations. [Thesis]. Mälardalen University; 2011. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-14366

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

22. Larsson, Karl. Pricing American Options using Simulation.

Degree: Mathematics and Mathematical Statistics, 2007, Umeå University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-51341

► American options are financial contracts that allow exercise at any time until ex- piration. While the pricing of standard American option contracts has been… (more)

▼ American options are financial contracts that allow exercise at any time until ex- piration. While the pricing of standard American option contracts has been well researched, with a few exceptions no analytical solutions exist. Valuation of more in- volved American option contracts, which include multiple underlying assets or path- dependent payoff, is still to a high degree an uncharted area. Most numerical methods work badly for such options as their time complexity scales exponentially with the number of dimensions. In this Master’s thesis we study valuation methods based on Monte Carlo sim- ulations. Monte Carlo methods don’t suffer from exponential time complexity, but have been known to be difficult to use for American option pricing due to the forward nature of simulations and the backward nature of American option valuation. The studied methods are: Parametrization of exercise rule, Random Tree, Stochastic Mesh and Regression based method with a dual approach. These methods are evaluated and compared for the standard American put option and for the American maximum call option. Where applicable the values are compared with those from deterministic reference methods. The strengths and weaknesses of each method is discussed. The Regression based method essentially reduces the problem to one of selecting suitable basis functions. This choice is empirically evaluated for the following Amer- ican option contracts; standard put, maximum call, basket call, Asian call and Asian call on a basket. The set of basis functions considered include polynomials in the underlying assets, the payoff, the price of the corresponding European contract as well as certain analytic approximation of the latter. Results from the empirical studies show that the regression based method is the best choice when pricing exotic American options. Furthermore, using available analytical approximations for the corresponding European option values as a basis function seems to improve the performance of the method in most cases.

Subjects/Keywords: American options; Monte Carlo simulation; option pricing

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APA (6^th Edition):

Larsson, K. (2007). Pricing American Options using Simulation. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-51341

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Larsson, Karl. “Pricing American Options using Simulation.” 2007. Thesis, Umeå University. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-51341.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Larsson, Karl. “Pricing American Options using Simulation.” 2007. Web. 07 Mar 2021.

Vancouver:

Larsson K. Pricing American Options using Simulation. [Internet] [Thesis]. Umeå University; 2007. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-51341.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Larsson K. Pricing American Options using Simulation. [Thesis]. Umeå University; 2007. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-51341

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

23. Teri, Veronica. Asymptotic results for American option prices under extended Heston model.

Degree: Culture and Communication, 2019, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-46188

► In this thesis, we consider the pricing problem of an American put option. We introduce a new market model for the evolution of the… (more)

Subjects/Keywords: American options; Stochastic Volatility; Extended Heston model; Fast mean–reversion volatility; Asymptotic expansion; Average Volatility; Mathematics; Matematik

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APA (6^th Edition):

Teri, V. (2019). Asymptotic results for American option prices under extended Heston model. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-46188

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Teri, Veronica. “Asymptotic results for American option prices under extended Heston model.” 2019. Thesis, Mälardalen University. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-46188.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Teri, Veronica. “Asymptotic results for American option prices under extended Heston model.” 2019. Web. 07 Mar 2021.

Vancouver:

Teri V. Asymptotic results for American option prices under extended Heston model. [Internet] [Thesis]. Mälardalen University; 2019. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-46188.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Teri V. Asymptotic results for American option prices under extended Heston model. [Thesis]. Mälardalen University; 2019. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-46188

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

24. LONG YUN. Monte Carlo Simulation in Option Pricing.

Degree: 2009, National University of Singapore

URL: http://scholarbank.nus.edu.sg/handle/10635/16875

Subjects/Keywords: Option Pricing; American Options; Least Squares Monte Carlo

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APA (6^th Edition):

YUN, L. (2009). Monte Carlo Simulation in Option Pricing. (Thesis). National University of Singapore. Retrieved from http://scholarbank.nus.edu.sg/handle/10635/16875

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

YUN, LONG. “Monte Carlo Simulation in Option Pricing.” 2009. Thesis, National University of Singapore. Accessed March 07, 2021. http://scholarbank.nus.edu.sg/handle/10635/16875.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

YUN, LONG. “Monte Carlo Simulation in Option Pricing.” 2009. Web. 07 Mar 2021.

Vancouver:

YUN L. Monte Carlo Simulation in Option Pricing. [Internet] [Thesis]. National University of Singapore; 2009. [cited 2021 Mar 07]. Available from: http://scholarbank.nus.edu.sg/handle/10635/16875.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

YUN L. Monte Carlo Simulation in Option Pricing. [Thesis]. National University of Singapore; 2009. Available from: http://scholarbank.nus.edu.sg/handle/10635/16875

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of South Florida

25. Eckart, Jochen. Flexible Urban Drainage Systems in New Land-Use Areas.

Degree: 2012, University of South Florida

URL: https://scholarcommons.usf.edu/etd/4033

► Urban drainage systems are influenced by several future drivers that affect the performance as well as the costs of the systems. The uncertainties associated with… (more)

▼ Urban drainage systems are influenced by several future drivers that affect the performance as well as the costs of the systems. The uncertainties associated with future drivers and their impact creates difficulties in designing urban drainage systems sustainably. A review of the different future drivers for urban drainage systems illustrates that no sufficient future predictions for the long operational life spans of the systems are possible. This dissertation contends that to deal with future uncertainties, flexibility in urban drainage systems is necessary. At present, profound insights about defining, measuring, and generating flexible urban drainage systems do not exist. This research systematically approaches these issues. First, a clear definition of flexibility and an approach for the measurement and optimization of flexibility is operationalized. Based on the generic definitions of flexibility used in other disciplines, a definition tailored for urban drainage systems is generated. As such, flexibility in sustainable urban drainage systems is defined as `the ability of urban drainage systems to use their active capacity to act and respond to relevant alterations during operation in a performance-efficient, timely, and cost-effective way'. Next, a method for measuring flexibility is provided based on the developed definition of flexibility including the metrics, 'range of change', 'life-cycle performance' and 'effort of change'. These metrics are integrated into a framework for the measurement of flexibility based on a comparison of performance and effort in different alternative solution with respect to different future states. In addition the metrics are the core components for optimizing flexible design of urban drainage system. The measurement method is successfully applied in two case studies in Tuttle Hill, UK and Hamburg-Wilhelmsburg, Germany. Using the developed definition and method for the measurement of flexibility, this dissertation illustrates that a transfer of the general theoretical background of flexibility to the field of urban drainage is possible. It is currently unclear how the flexible design of urban drainage systems can be executed. Based on a review, this research identifies nine potential principles of flexible design, described by the indicators of modularity, platform design, flexible elements, cost efficiency, decentralized design, real time control, low degree of specialization, scalability, and a combination of these principles. A case study of Hamburg-Boberg is then presented to analyze which of these principles of flexible design can be verified. For each alternative solution in the sample, the indicators for the different potential principles of flexible design as well as the flexibility provided by the design are calculated. Testing is done to determine if there is a significant correlation between the potential principles of flexible design and the measured flexibility using a chi-square-test and F-test. Two principles are verified with a high degree of confidence,…

Subjects/Keywords: adaptation; flexibility options; robustness; stormwater management; sustainable urban drainage systems; American Studies; Arts and Humanities; Civil Engineering; Environmental Engineering

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APA (6^th Edition):

Eckart, J. (2012). Flexible Urban Drainage Systems in New Land-Use Areas. (Thesis). University of South Florida. Retrieved from https://scholarcommons.usf.edu/etd/4033

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Eckart, Jochen. “Flexible Urban Drainage Systems in New Land-Use Areas.” 2012. Thesis, University of South Florida. Accessed March 07, 2021. https://scholarcommons.usf.edu/etd/4033.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Eckart, Jochen. “Flexible Urban Drainage Systems in New Land-Use Areas.” 2012. Web. 07 Mar 2021.

Vancouver:

Eckart J. Flexible Urban Drainage Systems in New Land-Use Areas. [Internet] [Thesis]. University of South Florida; 2012. [cited 2021 Mar 07]. Available from: https://scholarcommons.usf.edu/etd/4033.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Eckart J. Flexible Urban Drainage Systems in New Land-Use Areas. [Thesis]. University of South Florida; 2012. Available from: https://scholarcommons.usf.edu/etd/4033

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

26. Radeschnig, David. Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach.

Degree: Culture and Communication, 2015, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28951

► This report focus upon implied volatility for American styled Asian options, and a least squares approximation method as a way of estimating its magnitude.… (more)

Subjects/Keywords: Implied Volatility; American-Asian Options; Quasi-Monte Carlo; Simulations; Weak Law of Large Numbers; K-Fold Cross Validation Test; Non-Parametic Kruskal-Wallis Test; Least Squares Approximation; Regression Tree; Pricing American Options

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Radeschnig, D. (2015). Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28951

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Radeschnig, David. “Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach.” 2015. Thesis, Mälardalen University. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28951.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Radeschnig, David. “Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach.” 2015. Web. 07 Mar 2021.

Vancouver:

Radeschnig D. Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach. [Internet] [Thesis]. Mälardalen University; 2015. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28951.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Radeschnig D. Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach. [Thesis]. Mälardalen University; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28951

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Vienna

27. Schönenberger, Lisa. Nonstandard methods in stochastics and applications to mathematical finance.

Degree: 2010, University of Vienna

URL: http://othes.univie.ac.at/10555/

►

Im ersten Kapitel dieser Diplomarbeit werden Methoden aus der Nichtstandard Analysis auf Maß- und Wahrscheinlichkeitstheorie angewendet. Der erste Abschnitt dieses Kapitels ist eine Zusammenfassung über… (more)

▼

Im ersten Kapitel dieser Diplomarbeit werden Methoden aus der Nichtstandard Analysis auf Maß- und Wahrscheinlichkeitstheorie angewendet. Der erste Abschnitt dieses Kapitels ist eine Zusammenfassung über die Konstruktion von Nichtstandard Mengen und über deren grundlegende Eigenschaften. Im zweiten Teil des ersten Kapitels werden Maßräume im Nichtstandard Universum beschrieben, sogenannte interne Maßräume. Wir zeigen, dass diese internen Maßräume im Allgemeinen keinen Maßräume im üblichen Sinne sind, aber dass für jeden internen Maßraum ein Maßraum, der sogenannte Loeb Raum, existiert, der eine kanonische Erweiterung des internen Maßraumes ist. Im Folgenden wenden wir diese Ergebnisse auf die Brownsche Bewegung an und zeigen den Zusammenhang der Brownschen Bewegung mit infinitesimalen Zufallspfaden. Im nächsten Abschnitt zeigen wir für eine große Klasse von Funktionen auf internen Wahrscheinlichkeitsräumen, dass sie mit Standard Funktionen auf den zugehörigen Loeb Räumen in einem bestimmten Sinne übereinstimmen. Das heißt für Funktionen auf internen Wahrscheinlichkeitsräumen existiert eine Funktion auf dem Loeb Raum mit analogen Eigenschaften. Im zweiten Kapitel werden Anwendungen auf die Finanzmathematik beschrieben. Zunächst beschreiben wir Europäische Optionen im Cox-Ross-Rubinstein Modell und im Black-Scholes Modell. Dann führen wir das hyperendliche Cox-Ross-Rubinstein Modell ein, welches eine Erweiterung mit infinitesimalen Zeitschritten ist und ähnliche Eigenschaften wie das gewöhnliche Cox-Ross-Rubinstein Modell besitzt. Im Folgenden zeigen wir, dass das Black-Scholes Modell durch den Standardteil des hyperendlichen Cox-Ross-Rubinstein Modells gegeben ist. Als letztes betrachten wir Amerikanische Put-Optionen im hyperendlichen Cox-Ross-Rubinstein Modell und zeigen, dass die optimale Stoppzeit einer Amerikanischen Put-Option im Black- Scholes Modell durch den Standardteil der optimalen Stoppzeit im hyperendlichen Cox-Ross-Rubinstein Modell gegeben ist.

The first chapter of this thesis is concerned with measure and probability theory from a Nonstandard Analysis point of view. First we give an overview of general facts in Nonstandard Analysis. The second part of the first chapter is about internal measure spaces. We show that internal measure spaces are in general not measure spaces but that there is always a measure space in the usual sense, the so called Loeb space, which is a canonical extension of the nonstandard measure space. We apply these results to the Brownian Motion and show that the Brownian Motion can be obtained as an infinitesimal random walk. We also give some more general construction for a Brownian Motion. In the next part we show for a big class of functions and processes on probability spaces in the nonstandard universe that they in a certain sense correspond to standard entities. In the second chapter we give some applications of nonstandard stochastics in mathematical finance. First we look at European call options in the Cox-Ross- Rubinstein model…

Subjects/Keywords: 31.70 Wahrscheinlichkeitsrechnung; Nichtstandard Analysis/ Loeb Maß, Brownsche Bewegung/ Europäische Optionen / Amerikanische Optionen / Cox-Ross-Rubinstein / Black-Scholes; Nonstandard Analysis / Loeb Measures / Brownian Motion / European Options / American Options / Cox-Ross-Rubinstein / Black-Scholes

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Schönenberger, L. (2010). Nonstandard methods in stochastics and applications to mathematical finance. (Thesis). University of Vienna. Retrieved from http://othes.univie.ac.at/10555/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Schönenberger, Lisa. “Nonstandard methods in stochastics and applications to mathematical finance.” 2010. Thesis, University of Vienna. Accessed March 07, 2021. http://othes.univie.ac.at/10555/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Schönenberger, Lisa. “Nonstandard methods in stochastics and applications to mathematical finance.” 2010. Web. 07 Mar 2021.

Vancouver:

Schönenberger L. Nonstandard methods in stochastics and applications to mathematical finance. [Internet] [Thesis]. University of Vienna; 2010. [cited 2021 Mar 07]. Available from: http://othes.univie.ac.at/10555/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Schönenberger L. Nonstandard methods in stochastics and applications to mathematical finance. [Thesis]. University of Vienna; 2010. Available from: http://othes.univie.ac.at/10555/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

NSYSU

28. Chang, Yu-Chun. Pricing American options in the jump diffusion model.

Degree: Master, Applied Mathematics, 2005, NSYSU

URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0721105-143715

In this study, we use the McKean's integral equation to evaluate the American option price for constant jump di Advisors/Committee Members: Fu-Chuen Chang (chair), Mong-Na Lo Huang (chair), Mei-Hui Guo (committee member).

Subjects/Keywords: early exercise boundary; McKean's equation.; jump diffusion model; American options; early exercise premium

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Chang, Y. (2005). Pricing American options in the jump diffusion model. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0721105-143715

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Chang, Yu-Chun. “Pricing American options in the jump diffusion model.” 2005. Thesis, NSYSU. Accessed March 07, 2021. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0721105-143715.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Chang, Yu-Chun. “Pricing American options in the jump diffusion model.” 2005. Web. 07 Mar 2021.

Vancouver:

Chang Y. Pricing American options in the jump diffusion model. [Internet] [Thesis]. NSYSU; 2005. [cited 2021 Mar 07]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0721105-143715.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chang Y. Pricing American options in the jump diffusion model. [Thesis]. NSYSU; 2005. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0721105-143715

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Cornell University

29. Ehrlichman, Samuel M. T. Adaptive Stochastic Simulation for Structured Problems.

Degree: 2008, Cornell University

URL: http://hdl.handle.net/1813/11051

► In this thesis, I examine several situations in which one can improve the efficiency of a stochastic simulation algorithm by adaptively exploiting special structure of… (more)

▼ In this thesis, I examine several situations in which one can improve the efficiency of a stochastic simulation algorithm by adaptively exploiting special structure of the problem at hand. The thesis is comprised of three independent papers. In the first paper, I propose a new variance reduction technique in the setting of comparing the performance of two stochastic systems. The technique is a natural generalization of common random number sampling, a well-known sampling strategy that may reduce variance in certain situations. Common random number sampling entails sampling the underlying uniform random variates according to a particular copula; my proposed method considers more general copulae. I identify properties such a copula must have in order to induce a valid sampling strategy, give examples of situations in which copulae exist that outperform common random numbers, and give an algorithm for computing an effective Gaussian copula. In the second paper, I discuss an automated procedure for computing a control variate for the pricing of American options. The control variate is equal to the value of a particular martingale at the time the option is exercised. The martingale is constructed using an approximation of the value function in a backward dynamic program. We use adaptive linear regression splines to create the functional approximation. These splines have properties of which make them computationally convenient for constructing a martingale-based control variate of this type. In the third paper, I describe and analyze a novel root-finding procedure for monotone, convex univariate functions in the presence of noise. The main result of the analysis is a probabilistic performance guarantee for the algorithm. Specifically, given an indifference parameter delta and a confidence level alpha, the algorithm returns a point whose absolute function value is less than delta with probability at least one minus alpha. The total amount of work required by the algorithm may be bounded in terms of the length of the compact interval on which the function is defined and the Lipschitz constant of the function.

Subjects/Keywords: operations research; stochastic simulation; American options; Gaussian copula; root finding; common random numbers

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Ehrlichman, S. M. T. (2008). Adaptive Stochastic Simulation for Structured Problems. (Thesis). Cornell University. Retrieved from http://hdl.handle.net/1813/11051

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Ehrlichman, Samuel M T. “Adaptive Stochastic Simulation for Structured Problems.” 2008. Thesis, Cornell University. Accessed March 07, 2021. http://hdl.handle.net/1813/11051.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Ehrlichman, Samuel M T. “Adaptive Stochastic Simulation for Structured Problems.” 2008. Web. 07 Mar 2021.

Vancouver:

Ehrlichman SMT. Adaptive Stochastic Simulation for Structured Problems. [Internet] [Thesis]. Cornell University; 2008. [cited 2021 Mar 07]. Available from: http://hdl.handle.net/1813/11051.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ehrlichman SMT. Adaptive Stochastic Simulation for Structured Problems. [Thesis]. Cornell University; 2008. Available from: http://hdl.handle.net/1813/11051

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Pontifical Catholic University of Rio de Janeiro

30. URSULA SILVEIRA MONTEIRO DE LIMA. [en] COMPLEX DERIVATIVES VALUATION: APPLYING THE LEAST-SQUARES MONTE CARLO METHOD WITH SEVERAL POLYNOMIAL BASIS.

Degree: 2011, Pontifical Catholic University of Rio de Janeiro

URL: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=16812

►

[pt] Este trabalho tem por objetivo o estudo e a aplicação do Método de Mínimos Quadrados de Monte Carlo com diferentes bases polinomiais - Potência,… (more)

Subjects/Keywords: [pt] OPCOES AMERICANAS; [en] AMERICAN OPTIONS; [pt] DERIVATIVOS; [en] DERIVATIVES; [pt] METODO DOS MINIMOS QUADRADOS DE MONTE CARLO; [en] METHOD OF LEAST SQUARES MONTE CARLO

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

LIMA, U. S. M. D. (2011). [en] COMPLEX DERIVATIVES VALUATION: APPLYING THE LEAST-SQUARES MONTE CARLO METHOD WITH SEVERAL POLYNOMIAL BASIS. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=16812

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

LIMA, URSULA SILVEIRA MONTEIRO DE. “[en] COMPLEX DERIVATIVES VALUATION: APPLYING THE LEAST-SQUARES MONTE CARLO METHOD WITH SEVERAL POLYNOMIAL BASIS.” 2011. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed March 07, 2021. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=16812.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

LIMA, URSULA SILVEIRA MONTEIRO DE. “[en] COMPLEX DERIVATIVES VALUATION: APPLYING THE LEAST-SQUARES MONTE CARLO METHOD WITH SEVERAL POLYNOMIAL BASIS.” 2011. Web. 07 Mar 2021.

Vancouver:

LIMA USMD. [en] COMPLEX DERIVATIVES VALUATION: APPLYING THE LEAST-SQUARES MONTE CARLO METHOD WITH SEVERAL POLYNOMIAL BASIS. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2011. [cited 2021 Mar 07]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=16812.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

LIMA USMD. [en] COMPLEX DERIVATIVES VALUATION: APPLYING THE LEAST-SQUARES MONTE CARLO METHOD WITH SEVERAL POLYNOMIAL BASIS. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2011. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=16812

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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Open Access Theses and Dissertations