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dc.contributor.advisorSexton, Jim
dc.contributor.authorCooney, Michael
dc.date.accessioned2019-04-29T15:06:56Z
dc.date.available2019-04-29T15:06:56Z
dc.date.issued2006
dc.identifier.citationMichael Cooney, 'Methods for calculating option prices with early-exercise features', [thesis], Trinity College (Dublin, Ireland). School of Mathematics, 2006, pp 176
dc.identifier.otherTHESIS 7988
dc.identifier.urihttp://hdl.handle.net/2262/86270
dc.description.abstractIn this dissertation we deal with two distinct methods for pricing financial options with early-exercise features. First we use finite difference methods to calculate the prices, examining in particular two new schemes designed to deal with problems where the problems becomes singly perturbed. The second method is MonteCarlo techniques which allow for the early exercise of the option using different techniques to determine whether or not it is optimal to exercise early. Two new algorithms in particular were developed, one which uses an interpolation method to calculate the expected payoffs, the other uses an iterative technique and Ito's Lemma to determine if the option should be exercised.
dc.format1 volume
dc.language.isoen
dc.publisherTrinity College (Dublin, Ireland). School of Mathematics
dc.relation.isversionofhttp://stella.catalogue.tcd.ie/iii/encore/record/C__Rb13031899
dc.subjectMathematics, Ph.D.
dc.subjectPh.D. Trinity College Dublin
dc.titleMethods for calculating option prices with early-exercise features
dc.typethesis
dc.type.supercollectionthesis_dissertations
dc.type.supercollectionrefereed_publications
dc.type.qualificationlevelDoctoral
dc.type.qualificationnameDoctor of Philosophy (Ph.D.)
dc.rights.ecaccessrightsopenAccess
dc.format.extentpaginationpp 176
dc.description.noteTARA (Trinity's Access to Research Archive) has a robust takedown policy. Please contact us if you have any concerns: rssadmin@tcd.ie


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