subject:(Exercise boundary)

University of the Western Cape

1. Don, Marlon Junaide. Valuation of options for hedging against exchange rate exposure .

Degree: 2019, University of the Western Cape

► The risk associated with currency exposure is one of the main sources of risk in terms of internationally diversi ed portfolios. Controlling the risk is… (more)

▼ The risk associated with currency exposure is one of the main sources of risk in terms of internationally diversi ed portfolios. Controlling the risk is important for improving the performance of international investments. One approach to hedging against exchange rate exposure is by employing financial derivatives, particularly, foreign currency options. Currency options provide insurance against unfavorable exchange rate fluctuation, but also make provision to lock in a pro t when the exchange rate fluctuation are favorable. However, these instruments cannot be traded or managed without the relevant valuation techniques. In this dissertation we discuss one of the approaches to cover the risk associated with currency exposure. In particular, we focus on the partial differential equation (PDE) valuation of currency options by employing various finite difference schemes. We commence by introducing the mathematical tools required for the valuation of financial derivatives. Thereafter we study the valuation of European options. This involves deriving the famous Black-Scholes PDE for pricing options on stocks that do not yield dividends. Using the Black-Scholes PDE we derive the Black-Scholes formula for pricing European options. This derivation involves transforming the Black-Scholes PDE into the heat equation and by solving the heat equation we obtain the Black-Scholes formula. After completing the pricing of European options we now move to the pricing of American options. The early exercise facility associated with American options, leads to a free boundary problem which makes the pricing process of American options a challenging task. As in the case of the European options, we first derive the Black-Scholes inequality for American options and then transform this inequality for application to the heat equation to value American options. In the absence of an explicit formula for pricing American options we use numerical methods. Thus, we discuss the finite difference methods quite extensively with a focus on the implicit and Crank-Nicholson finite difference methods. Advisors/Committee Members: Witbooi, Peter (advisor).

Subjects/Keywords: Heat diffusion equation; Early exercise boundary; Black-Scholes model; Free boundary problem; Explicit difference method

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

APA (6^th Edition):

Don, M. J. (2019). Valuation of options for hedging against exchange rate exposure . (Thesis). University of the Western Cape. Retrieved from http://hdl.handle.net/11394/7113

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):

Don, Marlon Junaide. “Valuation of options for hedging against exchange rate exposure .” 2019. Thesis, University of the Western Cape. Accessed March 07, 2021. http://hdl.handle.net/11394/7113.

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

MLA Handbook (7^th Edition):

Don, Marlon Junaide. “Valuation of options for hedging against exchange rate exposure .” 2019. Web. 07 Mar 2021.

Vancouver:

Don MJ. Valuation of options for hedging against exchange rate exposure . [Internet] [Thesis]. University of the Western Cape; 2019. [cited 2021 Mar 07]. Available from: http://hdl.handle.net/11394/7113.

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

Council of Science Editors:

Don MJ. Valuation of options for hedging against exchange rate exposure . [Thesis]. University of the Western Cape; 2019. Available from: http://hdl.handle.net/11394/7113

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

2. 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

University of Sydney

3. Rodolfo, Karl. A Comparative Study of American Option Valuation and Computation .

Degree: 2007, University of Sydney

URL: http://hdl.handle.net/2123/2063

► For many practitioners and market participants, the valuation of financial derivatives is considered of very high importance as its uses range from a risk management… (more)

Subjects/Keywords: American Options; Free Boundary Value Problem; Early Exercise Boundary; Cubic Spline; Option Valuation

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APA (6^th Edition):

Rodolfo, K. (2007). A Comparative Study of American Option Valuation and Computation . (Thesis). University of Sydney. Retrieved from http://hdl.handle.net/2123/2063

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):

Rodolfo, Karl. “A Comparative Study of American Option Valuation and Computation .” 2007. Thesis, University of Sydney. Accessed March 07, 2021. http://hdl.handle.net/2123/2063.

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

MLA Handbook (7^th Edition):

Rodolfo, Karl. “A Comparative Study of American Option Valuation and Computation .” 2007. Web. 07 Mar 2021.

Vancouver:

Rodolfo K. A Comparative Study of American Option Valuation and Computation . [Internet] [Thesis]. University of Sydney; 2007. [cited 2021 Mar 07]. Available from: http://hdl.handle.net/2123/2063.

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

Council of Science Editors:

Rodolfo K. A Comparative Study of American Option Valuation and Computation . [Thesis]. University of Sydney; 2007. Available from: http://hdl.handle.net/2123/2063

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

4. 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

University of Wollongong

5. Le, Tan Nhat. Pricing American-style Parisian options.

Degree: PhD, 2016, University of Wollongong

URL: 010205 Financial Mathematics, 0102 APPLIED MATHEMATICS, 0103 NUMERICAL AND COMPUTATIONAL MATHEMATICS ; https://ro.uow.edu.au/theses/4654

► Barrier options are the most common path-dependent options traded in financial markets. They are particularly attractive to investors, because not only are they cheaper… (more)

Subjects/Keywords: Integral equation approach; Parisian options; Barrier options; Fourier Sine transform; optimal exercise boundary; Black-Scholes model.

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

APA (6^th Edition):

Le, T. N. (2016). Pricing American-style Parisian options. (Doctoral Dissertation). University of Wollongong. Retrieved from 010205 Financial Mathematics, 0102 APPLIED MATHEMATICS, 0103 NUMERICAL AND COMPUTATIONAL MATHEMATICS ; https://ro.uow.edu.au/theses/4654

Chicago Manual of Style (16^th Edition):

Le, Tan Nhat. “Pricing American-style Parisian options.” 2016. Doctoral Dissertation, University of Wollongong. Accessed March 07, 2021. 010205 Financial Mathematics, 0102 APPLIED MATHEMATICS, 0103 NUMERICAL AND COMPUTATIONAL MATHEMATICS ; https://ro.uow.edu.au/theses/4654.

MLA Handbook (7^th Edition):

Le, Tan Nhat. “Pricing American-style Parisian options.” 2016. Web. 07 Mar 2021.

Vancouver:

Le TN. Pricing American-style Parisian options. [Internet] [Doctoral dissertation]. University of Wollongong; 2016. [cited 2021 Mar 07]. Available from: 010205 Financial Mathematics, 0102 APPLIED MATHEMATICS, 0103 NUMERICAL AND COMPUTATIONAL MATHEMATICS ; https://ro.uow.edu.au/theses/4654.

Council of Science Editors:

Le TN. Pricing American-style Parisian options. [Doctoral Dissertation]. University of Wollongong; 2016. Available from: 010205 Financial Mathematics, 0102 APPLIED MATHEMATICS, 0103 NUMERICAL AND COMPUTATIONAL MATHEMATICS ; https://ro.uow.edu.au/theses/4654

NSYSU

6. 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

7. 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

AUT University

8. Satija, Kritika. Rethinking Cardiac Rehabilitation - A Foucauldian Discourse Analysis .

Degree: AUT University

URL: http://hdl.handle.net/10292/13593

► Cardiac rehabilitation (CR) is a multi-disciplinary programme offered to patients who have had a cardiac event. In New Zealand, CR programmes are funded by the… (more)

▼ Cardiac rehabilitation (CR) is a multi-disciplinary programme offered to patients who have had a cardiac event. In New Zealand, CR programmes are funded by the district health boards and are supported by primary healthcare organisations. Three phases of CR aim to provide education, medication prescription, exercise, and self-management strategies to patients and their families/whanau. The current international guidelines for cardiac and pulmonary rehabilitation programmes involve a significant exercise component that was historically prescribed by physiotherapists (PT’s). One of the key interventions used by the PT’s is therapeutic exercise. However, recently clinical exercise physiologists (CEP's) have started sharing phase two CR and pulmonary rehabilitation practice in New Zealand. There has been an increase in CEP numbers globally, and their business is also exercise-based rehabilitation. CEP’s and PT’s have begun to share the cardiac rehabilitation space in New Zealand. This poses a professional threat to an established profession of PT’s that have been practicing globally for over a century and have established themselves as one of the largest allied health professions. Therefore, sharing of CR space and challenging the PT practice in NZ have resulted in PT’s trying to protect their professional identity and territory. This thesis explores professional boundary tensions and power relationships between healthcare professionals using Foucauldian discourse analysis to better understand how knowledge and power shape physiotherapy practice. In this thesis, I will focus on how PTs and CEPs compete for control of phase two CR in Aotearoa/New Zealand. This thesis uses Foucault’s ideas on discipline, governmentality, power, knowledge, truth, and discourse to explore how the practice and boundaries of CEPs and PTs are evolving. The thesis addresses two crucial discourses that have shaped PT’s involvement as a profession and their participation in CR. These include normalisation and biomedicine. This thesis also explores the history of CR practice, its discursive formations, the impact of power relations, and boundary tensions and how it shapes the future of PT practice in the society and healthcare system. The thesis also aims to present the current construction of CR practice, what made it possible, and how to do, speak, and think about CR. My findings in the thesis support that although CEPs are practicing private CR outside government-funded rehabilitation and are posing a threat to physiotherapy practice. CEPs are not necessarily taking over CR in NZ and professionals tensions such as these have been noted in the past. Although these are small shifts in phase two CR, they have resulted in PT’s reaction to protecting their professional boundaries in NZ. Viewing and analysing professional boundary tensions in CR can help explore the future possibilities of phase two CR in NZ. Lastly, this thesis will also be significant in contributing to the sociology of professions and how the healthcare professions… Advisors/Committee Members: Nicholls, David (advisor).

Subjects/Keywords: Cardiac rehabilitation; Foucauldian discourse analysis; Professional boundary tensions; Physiotherapy; Clinical exercise physiology

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

APA (6^th Edition):

Satija, K. (n.d.). Rethinking Cardiac Rehabilitation - A Foucauldian Discourse Analysis . (Thesis). AUT University. Retrieved from http://hdl.handle.net/10292/13593

Note: this citation may be lacking information needed for this citation format:
No year of publication.
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Satija, Kritika. “Rethinking Cardiac Rehabilitation - A Foucauldian Discourse Analysis .” Thesis, AUT University. Accessed March 07, 2021. http://hdl.handle.net/10292/13593.

Note: this citation may be lacking information needed for this citation format:
No year of publication.
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Satija, Kritika. “Rethinking Cardiac Rehabilitation - A Foucauldian Discourse Analysis .” Web. 07 Mar 2021.

Note: this citation may be lacking information needed for this citation format:
No year of publication.

Vancouver:

Satija K. Rethinking Cardiac Rehabilitation - A Foucauldian Discourse Analysis . [Internet] [Thesis]. AUT University; [cited 2021 Mar 07]. Available from: http://hdl.handle.net/10292/13593.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
No year of publication.

Council of Science Editors:

Satija K. Rethinking Cardiac Rehabilitation - A Foucauldian Discourse Analysis . [Thesis]. AUT University; Available from: http://hdl.handle.net/10292/13593

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
No year of publication.

9. Zina, Danny. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility.

Degree: Culture and Communication, 2020, Mälardalen University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-47154

► The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model… (more)

Subjects/Keywords: Pricing American Options; Early Exercise Boundary; Markov-Modulated Volatility; Switching-State Volatility; Extended CRR Model.; Other Mathematics; Annan matematik; Probability Theory and Statistics; Sannolikhetsteori och statistik

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

APA (6^th Edition):

Zina, D. (2020). Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-47154

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):

Zina, Danny. “Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility.” 2020. Thesis, Mälardalen University. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-47154.

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

MLA Handbook (7^th Edition):

Zina, Danny. “Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility.” 2020. Web. 07 Mar 2021.

Vancouver:

Zina D. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility. [Internet] [Thesis]. Mälardalen University; 2020. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-47154.

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

Council of Science Editors:

Zina D. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility. [Thesis]. Mälardalen University; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-47154

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

10. Xing, William Wei. Pricing and Trading American Put Options under Sub-Optimal Exercise Policies.

Degree: 2012, University of Western Ontario

URL: https://ir.lib.uwo.ca/etd/789

► No analytical expression has been found for the optimal exercise boundary of finite maturity American put options. This thesis evaluates the performance of approximating the… (more)

Subjects/Keywords: American Put Options; Optimal Exercise Boundary; Sub-Optimal Exercise Policies; First Passage Time; Daniels Boundary; Delta Hedging.; Applied Mathematics

…28 3 4 Exponential Exercise Boundary 3.1 Evaluation… …Tables 1.1 Behaviour of Optimal Exercise Boundary to Changes in Model Parameters… …97 ix List of Figures 1.1 1.2 1.3 Optimal Exercise Boundary of American Put Option with… …Process S0 = 30 hitting Optimal Exercise Boundary with parameters r = 0.04, σ = 0.3, T = 1, X… …can be shown there exists an optimal exercise boundary at all times separating the exercise…

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

APA (6^th Edition):

Xing, W. W. (2012). Pricing and Trading American Put Options under Sub-Optimal Exercise Policies. (Thesis). University of Western Ontario. Retrieved from https://ir.lib.uwo.ca/etd/789

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):

Xing, William Wei. “Pricing and Trading American Put Options under Sub-Optimal Exercise Policies.” 2012. Thesis, University of Western Ontario. Accessed March 07, 2021. https://ir.lib.uwo.ca/etd/789.

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

MLA Handbook (7^th Edition):

Xing, William Wei. “Pricing and Trading American Put Options under Sub-Optimal Exercise Policies.” 2012. Web. 07 Mar 2021.

Vancouver:

Xing WW. Pricing and Trading American Put Options under Sub-Optimal Exercise Policies. [Internet] [Thesis]. University of Western Ontario; 2012. [cited 2021 Mar 07]. Available from: https://ir.lib.uwo.ca/etd/789.

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

Council of Science Editors:

Xing WW. Pricing and Trading American Put Options under Sub-Optimal Exercise Policies. [Thesis]. University of Western Ontario; 2012. Available from: https://ir.lib.uwo.ca/etd/789

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

North-West University

11. Joubert, Dominique. Numerical methods for pricing American put options under stochastic volatility / Dominique Joubert .

Degree: 2013, North-West University

URL: http://hdl.handle.net/10394/10202

► The Black-Scholes model and its assumptions has endured its fair share of criticism. One problematic issue is the model’s assumption that market volatility is constant.… (more)

Subjects/Keywords: Early exercise boundary; Free boundary value problem; Linear complimentary problem; Crank-Nicolson finite difference method; rojected Over-Relaxation method (PSOR); Stochastic volatility; Heston stochastic volatility model; Vroeë uitoefengrens; Vrye grenswaardeprobleem; Liniêre komplimentêre probleem; Crank-Nicolson eindige differensiemetode; Geprojekteerde oorverslappingsmetode (PSOR); Stogastiese volatiliteit; Heston stogastiese volatiliteitsmodel

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

APA (6^th Edition):

Joubert, D. (2013). Numerical methods for pricing American put options under stochastic volatility / Dominique Joubert . (Thesis). North-West University. Retrieved from http://hdl.handle.net/10394/10202

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):

Joubert, Dominique. “Numerical methods for pricing American put options under stochastic volatility / Dominique Joubert .” 2013. Thesis, North-West University. Accessed March 07, 2021. http://hdl.handle.net/10394/10202.

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

MLA Handbook (7^th Edition):

Joubert, Dominique. “Numerical methods for pricing American put options under stochastic volatility / Dominique Joubert .” 2013. Web. 07 Mar 2021.

Vancouver:

Joubert D. Numerical methods for pricing American put options under stochastic volatility / Dominique Joubert . [Internet] [Thesis]. North-West University; 2013. [cited 2021 Mar 07]. Available from: http://hdl.handle.net/10394/10202.

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

Council of Science Editors:

Joubert D. Numerical methods for pricing American put options under stochastic volatility / Dominique Joubert . [Thesis]. North-West University; 2013. Available from: http://hdl.handle.net/10394/10202

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

12. ZHANG HUIFENG. Pricing finite maturity American style stock loans.

Degree: 2006, National University of Singapore

URL: http://scholarbank.nus.edu.sg/handle/10635/15523

Subjects/Keywords: Stock loan; negative interest rate; American path dependent; optimal exercise boundary; modified binomial tree; continuous/discrete dividend

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

APA (6^th Edition):

HUIFENG, Z. (2006). Pricing finite maturity American style stock loans. (Thesis). National University of Singapore. Retrieved from http://scholarbank.nus.edu.sg/handle/10635/15523

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):

HUIFENG, ZHANG. “Pricing finite maturity American style stock loans.” 2006. Thesis, National University of Singapore. Accessed March 07, 2021. http://scholarbank.nus.edu.sg/handle/10635/15523.

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

MLA Handbook (7^th Edition):

HUIFENG, ZHANG. “Pricing finite maturity American style stock loans.” 2006. Web. 07 Mar 2021.

Vancouver:

HUIFENG Z. Pricing finite maturity American style stock loans. [Internet] [Thesis]. National University of Singapore; 2006. [cited 2021 Mar 07]. Available from: http://scholarbank.nus.edu.sg/handle/10635/15523.

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

Council of Science Editors:

HUIFENG Z. Pricing finite maturity American style stock loans. [Thesis]. National University of Singapore; 2006. Available from: http://scholarbank.nus.edu.sg/handle/10635/15523

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

University of Florida

13. Ryabchenko, Valeriy. Efficient Optimization Algorithms for Pricing Energy Derivatives and Standard Vanilla Options.

Degree: PhD, Industrial and Systems Engineering, 2008, University of Florida

URL: https://ufdc.ufl.edu/UFE0022492

► Our first study researched a problem of scheduling operational flexibility of electricity generating facilities. Recently, a number of new approaches based on stochastic dynamic programming… (more)

Subjects/Keywords: Algorithms; Call options; Electric power plants; Financial portfolios; Hedging; Heuristics; Mathematical monotonicity; Prices; Pricing; Stock prices; agreement, boundary, contracts, derivatives, efficient, energy, exercise, exotic, hedging, linear, optimal, optimization, options, pricing, programming, quadratic, spark, spread, strategy, tolling

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

APA (6^th Edition):

Ryabchenko, V. (2008). Efficient Optimization Algorithms for Pricing Energy Derivatives and Standard Vanilla Options. (Doctoral Dissertation). University of Florida. Retrieved from https://ufdc.ufl.edu/UFE0022492

Chicago Manual of Style (16^th Edition):

Ryabchenko, Valeriy. “Efficient Optimization Algorithms for Pricing Energy Derivatives and Standard Vanilla Options.” 2008. Doctoral Dissertation, University of Florida. Accessed March 07, 2021. https://ufdc.ufl.edu/UFE0022492.

MLA Handbook (7^th Edition):

Ryabchenko, Valeriy. “Efficient Optimization Algorithms for Pricing Energy Derivatives and Standard Vanilla Options.” 2008. Web. 07 Mar 2021.

Vancouver:

Ryabchenko V. Efficient Optimization Algorithms for Pricing Energy Derivatives and Standard Vanilla Options. [Internet] [Doctoral dissertation]. University of Florida; 2008. [cited 2021 Mar 07]. Available from: https://ufdc.ufl.edu/UFE0022492.

Council of Science Editors:

Ryabchenko V. Efficient Optimization Algorithms for Pricing Energy Derivatives and Standard Vanilla Options. [Doctoral Dissertation]. University of Florida; 2008. Available from: https://ufdc.ufl.edu/UFE0022492

14. Danho, Sargon. Pricing Financial Derivatives with the FiniteDifference Method.

Degree: Mathematical Statistics, 2017, KTH

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-213551

►

In this thesis, important theories in financial mathematics will be explained and derived. These theories will later be used to value financial derivatives. An… (more)

▼

In this thesis, important theories in financial mathematics will be explained and derived. These theories will later be used to value financial derivatives. An analytical formula for valuing European call and put option will be derived and European call options will be valued under the Black-Scholes partial differential equation using three different finite difference methods. The Crank-Nicholson method will then be used to value American call options and solve their corresponding free boundary value problem. The optimal exercise boundary can then be plotted from the solution of the free boundary value problem. The algorithm for valuing American call options will then be further developed to solve the stock loan problem. This will be achieved by exploiting a link that exists between American call options and stock loans. The Crank-Nicholson method will be used to value stock loans and their corresponding free boundary value problem. The optimal exit boundary can then be plotted from the solution of the free boundary value problem. The results that are obtained from the numerical calculations will finally be used to discuss how different parameters affect the valuation of American call options and the valuation of stock loans. In the end of the thesis, conclusions about the effect of the different parameters on the optimal prices will be presented.

I det här kandidatexamensarbetet kommer fundamentala teorier inom finansiell matematik förklaras och härledas. Dessa teorier kommer lägga grunden för värderingen av finansiella derivat i detta arbete. En analytisk formel för att värdera europeiska köp- och säljoptioner kommer att härledas. Dessutom kommer europeiska köpoptioner att värderas numeriskt med tre olika finita differensmetoder. Den finita differensmetoden Crank-Nicholson kommer sedan användas för att värdera amerikanska köpoptioner och lösa det fria gränsvärdesproblemet (free boundary value problem). Den optimala omvandlingsgränsen (Optimal Exercise Boundary) kan därefter härledas från det fria gränsvärdesproblemet. Algoritmen för att värdera amerikanska köpoptioner utökas därefter till att värdera lån med aktier som säkerhet. Detta kan åstadkommas genom att utnyttja ett samband mellan amerikanska köpoptioner med lån där aktier används som säkerhet. Den finita differensmetoden Crank-Nicholson kommer dessutom att användas för att värdera lån med aktier som säkerhet. Den optimala avyttringsgränsen (Optimal Exit Boundary) kan därefter härledas från det fria gränsvärdesproblemet. Resultaten från de numeriska beräkningarna kommer slutligen att användas för att diskutera hur olika parametrar påverkar värderingen av amerikanska köpoptioner, samt värdering av lån med aktier som säkerhet. Avslutningsvis kommer slutsatser om effekterna av dessa parametrar att presenteras.

Subjects/Keywords: American Call Option; Black-Scholes Equation; European Option; Finite Difference Method; Heat Equation; Optimal Exercise Boundary; Optimal Exit Boundary; Stock Loan; Amerikanska köpoptioner; Black-Scholes ekvation; europeiska optioner; finita differensmetoden; värmeledningsekvationen; optimala omvandlingsgräns; optimala avyttringsgräns; lån med aktier som säkerhet; Computational Mathematics; Beräkningsmatematik

…69 Optimal Exercise Boundary . . . . . . . . . . . . . . . . . . . . . . . . . . . 70 6… …Exercise Boundary 115 F Stock Loan 117 G Optimal Exit Price 120 References 124 List of… …An illustration of the optimal exercise boundary of an American call option with the… …An illustration of the optimal exercise boundary of an American call option for varying… …optimal exercise boundary of an American call option for varying risk free interest rates. The…

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

APA (6^th Edition):

Danho, S. (2017). Pricing Financial Derivatives with the FiniteDifference Method. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-213551

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):

Danho, Sargon. “Pricing Financial Derivatives with the FiniteDifference Method.” 2017. Thesis, KTH. Accessed March 07, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-213551.

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

MLA Handbook (7^th Edition):

Danho, Sargon. “Pricing Financial Derivatives with the FiniteDifference Method.” 2017. Web. 07 Mar 2021.

Vancouver:

Danho S. Pricing Financial Derivatives with the FiniteDifference Method. [Internet] [Thesis]. KTH; 2017. [cited 2021 Mar 07]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-213551.

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

Council of Science Editors:

Danho S. Pricing Financial Derivatives with the FiniteDifference Method. [Thesis]. KTH; 2017. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-213551

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