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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

URL: http://hdl.handle.net/11394/7113

► 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)

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

Record Details Similar Records

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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

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.

Record Details Similar Records

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

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

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.

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.

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

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

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

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.

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.

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

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

Record Details Similar Records

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

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

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.

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.

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

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

Record Details Similar Records

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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

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.

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.

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

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)

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

Record Details Similar Records

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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)

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

Record Details Similar Records

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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

Record Details Similar Records

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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

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.

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.

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

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*…

Record Details Similar Records

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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

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.

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.

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

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

Record Details Similar Records

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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

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.

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.

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

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

Record Details Similar Records

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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

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.

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.

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

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

Record Details Similar Records

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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

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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)

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

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.

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.

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

Not specified: Masters Thesis or Doctoral Dissertation