Advanced search options

Advanced Search Options 🞨

Browse by author name (“Author name starts with…”).

Find ETDs with:

in
/  
in
/  
in
/  
in

Written in Published in Earliest date Latest date

Sorted by

Results per page:

Sorted by: relevance · author · university · dateNew search

You searched for subject:(Bermudan options). Showing records 1 – 9 of 9 total matches.

Search Limiters

Last 2 Years | English Only

No search limiters apply to these results.

▼ Search Limiters


Delft University of Technology

1. Wesel, Frederiek (author). Sparse Gaussian Processes in the Longstaff-Schwartz algorithm.

Degree: 2019, Delft University of Technology

 In financial applications it is often necessary to determine conditional expectations in Monte Carlo type of simulations. The industry standard at the moment relies on… (more)

Subjects/Keywords: Gaussian process regression; Bermudan options; Longstaff-Schwartz

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Wesel, F. (. (2019). Sparse Gaussian Processes in the Longstaff-Schwartz algorithm. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:6cc65fdf-1268-49cd-b0ab-163088603ff7

Chicago Manual of Style (16th Edition):

Wesel, Frederiek (author). “Sparse Gaussian Processes in the Longstaff-Schwartz algorithm.” 2019. Masters Thesis, Delft University of Technology. Accessed August 03, 2020. http://resolver.tudelft.nl/uuid:6cc65fdf-1268-49cd-b0ab-163088603ff7.

MLA Handbook (7th Edition):

Wesel, Frederiek (author). “Sparse Gaussian Processes in the Longstaff-Schwartz algorithm.” 2019. Web. 03 Aug 2020.

Vancouver:

Wesel F(. Sparse Gaussian Processes in the Longstaff-Schwartz algorithm. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Aug 03]. Available from: http://resolver.tudelft.nl/uuid:6cc65fdf-1268-49cd-b0ab-163088603ff7.

Council of Science Editors:

Wesel F(. Sparse Gaussian Processes in the Longstaff-Schwartz algorithm. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:6cc65fdf-1268-49cd-b0ab-163088603ff7


University of Toronto

2. Zhang, Biyun. Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time.

Degree: 2015, University of Toronto

The municipal water and wastewater sector is considered to be one of the most capital intensive industrial sectors. Optimization methods that reduce both capital and… (more)

Subjects/Keywords: Bermudan Option; Capital Budgeting; Modular Expansion; Option Pricing; Real Options; Wastewater Treatment Plant; 0546

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Zhang, B. (2015). Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time. (Masters Thesis). University of Toronto. Retrieved from http://hdl.handle.net/1807/69721

Chicago Manual of Style (16th Edition):

Zhang, Biyun. “Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time.” 2015. Masters Thesis, University of Toronto. Accessed August 03, 2020. http://hdl.handle.net/1807/69721.

MLA Handbook (7th Edition):

Zhang, Biyun. “Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time.” 2015. Web. 03 Aug 2020.

Vancouver:

Zhang B. Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time. [Internet] [Masters thesis]. University of Toronto; 2015. [cited 2020 Aug 03]. Available from: http://hdl.handle.net/1807/69721.

Council of Science Editors:

Zhang B. Optimization of a Wastewater Treatment Plant Expansion with Flexible Expansion Time. [Masters Thesis]. University of Toronto; 2015. Available from: http://hdl.handle.net/1807/69721


University of Melbourne

3. TANG, ROBERT. New methods and improvements to Monte-Carlo methods for pricing derivative securities.

Degree: 2012, University of Melbourne

 This thesis presents new Monte Carlo methods for pricing financial derivative securities. Some of these new methods are entirely original ideas whilst others are improvements… (more)

Subjects/Keywords: Bermudan options; Monte-Carlo; derivatives; stratified sampling; barrier options; non-nested simulations; hedging; pathwise method; BGM; LMM; Libor Market Model; Heston

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

TANG, R. (2012). New methods and improvements to Monte-Carlo methods for pricing derivative securities. (Doctoral Dissertation). University of Melbourne. Retrieved from http://hdl.handle.net/11343/37624

Chicago Manual of Style (16th Edition):

TANG, ROBERT. “New methods and improvements to Monte-Carlo methods for pricing derivative securities.” 2012. Doctoral Dissertation, University of Melbourne. Accessed August 03, 2020. http://hdl.handle.net/11343/37624.

MLA Handbook (7th Edition):

TANG, ROBERT. “New methods and improvements to Monte-Carlo methods for pricing derivative securities.” 2012. Web. 03 Aug 2020.

Vancouver:

TANG R. New methods and improvements to Monte-Carlo methods for pricing derivative securities. [Internet] [Doctoral dissertation]. University of Melbourne; 2012. [cited 2020 Aug 03]. Available from: http://hdl.handle.net/11343/37624.

Council of Science Editors:

TANG R. New methods and improvements to Monte-Carlo methods for pricing derivative securities. [Doctoral Dissertation]. University of Melbourne; 2012. Available from: http://hdl.handle.net/11343/37624


Delft University of Technology

4. Maree, S.C. (author). Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions.

Degree: 2015, Delft University of Technology

This thesis is about pricing Bermudan options with the SWIFT method (Shannon Wavelets Inverse Fourier Technique). We reformulate the SWIFT pricing formula for European options(more)

Subjects/Keywords: option pricing; Bermudan options; exponential levy processes; wavelet series approximations; Shannon wavelets; Shannon-Whittaker sampling theory; Fourier transform inversion

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Maree, S. C. (. (2015). Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:a080360d-9eeb-4b0d-9613-0c736f8769e5

Chicago Manual of Style (16th Edition):

Maree, S C (author). “Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions.” 2015. Masters Thesis, Delft University of Technology. Accessed August 03, 2020. http://resolver.tudelft.nl/uuid:a080360d-9eeb-4b0d-9613-0c736f8769e5.

MLA Handbook (7th Edition):

Maree, S C (author). “Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions.” 2015. Web. 03 Aug 2020.

Vancouver:

Maree SC(. Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions. [Internet] [Masters thesis]. Delft University of Technology; 2015. [cited 2020 Aug 03]. Available from: http://resolver.tudelft.nl/uuid:a080360d-9eeb-4b0d-9613-0c736f8769e5.

Council of Science Editors:

Maree SC(. Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions. [Masters Thesis]. Delft University of Technology; 2015. Available from: http://resolver.tudelft.nl/uuid:a080360d-9eeb-4b0d-9613-0c736f8769e5

5. Jain, S. Investment decisions under uncertainties: A case of nuclear power plants.

Degree: 2014, Ridderprint BV

 This thesis discusses the role of flexibility of decisions when investing in projects that are affected by economic uncertainties. It uses the theory of real… (more)

Subjects/Keywords: real options; Bermudan options; Monte Carlo methods; investment decisions in nuclear power plants

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Jain, S. (2014). Investment decisions under uncertainties: A case of nuclear power plants. (Doctoral Dissertation). Ridderprint BV. Retrieved from http://resolver.tudelft.nl/uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; urn:NBN:nl:ui:24-uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; urn:NBN:nl:ui:24-uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; http://resolver.tudelft.nl/uuid:ad13f879-f006-4325-a331-5061bc7adf10

Chicago Manual of Style (16th Edition):

Jain, S. “Investment decisions under uncertainties: A case of nuclear power plants.” 2014. Doctoral Dissertation, Ridderprint BV. Accessed August 03, 2020. http://resolver.tudelft.nl/uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; urn:NBN:nl:ui:24-uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; urn:NBN:nl:ui:24-uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; http://resolver.tudelft.nl/uuid:ad13f879-f006-4325-a331-5061bc7adf10.

MLA Handbook (7th Edition):

Jain, S. “Investment decisions under uncertainties: A case of nuclear power plants.” 2014. Web. 03 Aug 2020.

Vancouver:

Jain S. Investment decisions under uncertainties: A case of nuclear power plants. [Internet] [Doctoral dissertation]. Ridderprint BV; 2014. [cited 2020 Aug 03]. Available from: http://resolver.tudelft.nl/uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; urn:NBN:nl:ui:24-uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; urn:NBN:nl:ui:24-uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; http://resolver.tudelft.nl/uuid:ad13f879-f006-4325-a331-5061bc7adf10.

Council of Science Editors:

Jain S. Investment decisions under uncertainties: A case of nuclear power plants. [Doctoral Dissertation]. Ridderprint BV; 2014. Available from: http://resolver.tudelft.nl/uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; urn:NBN:nl:ui:24-uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; urn:NBN:nl:ui:24-uuid:ad13f879-f006-4325-a331-5061bc7adf10 ; http://resolver.tudelft.nl/uuid:ad13f879-f006-4325-a331-5061bc7adf10


University of Alberta

6. Nosrati, Amir. Imperfect Hedging in Defaultable Markets and Insurance Applications.

Degree: PhD, Department of Mathematical and Statistical Sciences, 2016, University of Alberta

 In this thesis, we study the impact of random times to model and manage unpredictable risk events in the financial models. First, as a generalization… (more)

Subjects/Keywords: Imperfect Hedging; Efficient Hedging; Defaultable Markets; Equity Linked Life Insurance Contracts; Neyman Pearson Lemma; Regime Switching Models; Risk Minimization; Bermudan Options; Credit Risk

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Nosrati, A. (2016). Imperfect Hedging in Defaultable Markets and Insurance Applications. (Doctoral Dissertation). University of Alberta. Retrieved from https://era.library.ualberta.ca/files/chx11xf438

Chicago Manual of Style (16th Edition):

Nosrati, Amir. “Imperfect Hedging in Defaultable Markets and Insurance Applications.” 2016. Doctoral Dissertation, University of Alberta. Accessed August 03, 2020. https://era.library.ualberta.ca/files/chx11xf438.

MLA Handbook (7th Edition):

Nosrati, Amir. “Imperfect Hedging in Defaultable Markets and Insurance Applications.” 2016. Web. 03 Aug 2020.

Vancouver:

Nosrati A. Imperfect Hedging in Defaultable Markets and Insurance Applications. [Internet] [Doctoral dissertation]. University of Alberta; 2016. [cited 2020 Aug 03]. Available from: https://era.library.ualberta.ca/files/chx11xf438.

Council of Science Editors:

Nosrati A. Imperfect Hedging in Defaultable Markets and Insurance Applications. [Doctoral Dissertation]. University of Alberta; 2016. Available from: https://era.library.ualberta.ca/files/chx11xf438


Georgia Tech

7. Kirkby, Justin L. Frame and Fourier methods for exotic option pricing and hedging.

Degree: PhD, Industrial and Systems Engineering, 2016, Georgia Tech

 Numerical option pricing has been revolutionized with the advent of fast transform methods. While lattice and Monte Carlo based approaches remain the most generally applicable,… (more)

Subjects/Keywords: Option pricing; Exotic options; Fourier transform; Frames; Riesz bases; B-splines; Asian option; Parisian option; European option; Barrier option; Lookback option; Static Hedging; Forward starting option; Bermudan option; American option

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Kirkby, J. L. (2016). Frame and Fourier methods for exotic option pricing and hedging. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/59138

Chicago Manual of Style (16th Edition):

Kirkby, Justin L. “Frame and Fourier methods for exotic option pricing and hedging.” 2016. Doctoral Dissertation, Georgia Tech. Accessed August 03, 2020. http://hdl.handle.net/1853/59138.

MLA Handbook (7th Edition):

Kirkby, Justin L. “Frame and Fourier methods for exotic option pricing and hedging.” 2016. Web. 03 Aug 2020.

Vancouver:

Kirkby JL. Frame and Fourier methods for exotic option pricing and hedging. [Internet] [Doctoral dissertation]. Georgia Tech; 2016. [cited 2020 Aug 03]. Available from: http://hdl.handle.net/1853/59138.

Council of Science Editors:

Kirkby JL. Frame and Fourier methods for exotic option pricing and hedging. [Doctoral Dissertation]. Georgia Tech; 2016. Available from: http://hdl.handle.net/1853/59138


University of Manitoba

8. Meyer, Keith. Extending and simulating the quantum binomial options pricing model.

Degree: Computer Science, 2009, University of Manitoba

 Pricing options quickly and accurately is a well known problem in finance. Quantum computing is being researched with the hope that quantum computers will be… (more)

Subjects/Keywords: Quantum; Options; Binomial; No-arbitrage; Risk-neutral; Computing; Stock; Black-Scholes; Cox-Ross-Rubinstein; Pricing; Model; European; American; Bermudan; Barrier; Volatility

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Meyer, K. (2009). Extending and simulating the quantum binomial options pricing model. (Masters Thesis). University of Manitoba. Retrieved from http://hdl.handle.net/1993/3154

Chicago Manual of Style (16th Edition):

Meyer, Keith. “Extending and simulating the quantum binomial options pricing model.” 2009. Masters Thesis, University of Manitoba. Accessed August 03, 2020. http://hdl.handle.net/1993/3154.

MLA Handbook (7th Edition):

Meyer, Keith. “Extending and simulating the quantum binomial options pricing model.” 2009. Web. 03 Aug 2020.

Vancouver:

Meyer K. Extending and simulating the quantum binomial options pricing model. [Internet] [Masters thesis]. University of Manitoba; 2009. [cited 2020 Aug 03]. Available from: http://hdl.handle.net/1993/3154.

Council of Science Editors:

Meyer K. Extending and simulating the quantum binomial options pricing model. [Masters Thesis]. University of Manitoba; 2009. Available from: http://hdl.handle.net/1993/3154

9. Lin, Fangyuan. Statistical Inference and Pricing for Regime Switching Models in Finance and Insurance.

Degree: 2016, University of Waterloo

 This thesis studies the estimation, goodness-of-fit testing, pricing and sampling problems for regime switching models, which are popularly used in financial markets. Specifically, we consider… (more)

Subjects/Keywords: estimation; goodness-of-fit testing; regime switching models; Levy processes; discrete empirical characteristic function methods; applications to S&P 500 data; pricing Bermudan options; dynamic programming approach; equity-indexed annuities (EIAs); sampling conditioned processes for regime switching models; static hedging path-dependent options

…106 5.3 Prices of Bermudan Put Options with Maturity One Year and 10 Equally Spaced… …Pricing Asian Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124 6.3 Static… …Hedging of Asian Options . . . . . . . . . . . . . . . . . . . . . . . . 126 6.3.1 Optimal… …European Call and Put options with Maturity One Year . . . . . 106 5.2 Prices of European at… …Ratchet Options Under Different Regime Switching Models . . . . 109 5.5 Prices of Ratchet… 

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Lin, F. (2016). Statistical Inference and Pricing for Regime Switching Models in Finance and Insurance. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/10791

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

Chicago Manual of Style (16th Edition):

Lin, Fangyuan. “Statistical Inference and Pricing for Regime Switching Models in Finance and Insurance.” 2016. Thesis, University of Waterloo. Accessed August 03, 2020. http://hdl.handle.net/10012/10791.

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

MLA Handbook (7th Edition):

Lin, Fangyuan. “Statistical Inference and Pricing for Regime Switching Models in Finance and Insurance.” 2016. Web. 03 Aug 2020.

Vancouver:

Lin F. Statistical Inference and Pricing for Regime Switching Models in Finance and Insurance. [Internet] [Thesis]. University of Waterloo; 2016. [cited 2020 Aug 03]. Available from: http://hdl.handle.net/10012/10791.

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

Council of Science Editors:

Lin F. Statistical Inference and Pricing for Regime Switching Models in Finance and Insurance. [Thesis]. University of Waterloo; 2016. Available from: http://hdl.handle.net/10012/10791

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

.