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Delft University of Technology

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

Degree: 2019, Delft University of Technology

URL: http://resolver.tudelft.nl/uuid:6cc65fdf-1268-49cd-b0ab-163088603ff7

► 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

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://hdl.handle.net/1807/69721

►

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

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://hdl.handle.net/11343/37624

► 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

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://resolver.tudelft.nl/uuid:a080360d-9eeb-4b0d-9613-0c736f8769e5

►

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

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: 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

► 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 Details Similar Records

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: https://era.library.ualberta.ca/files/chx11xf438

► 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

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://hdl.handle.net/1853/59138

► 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 Details Similar Records

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://hdl.handle.net/1993/3154

► 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 Details Similar Records

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://hdl.handle.net/10012/10791

► 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 Details Similar Records

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation