dc.contributor.advisor Sexton, Jim dc.contributor.author Cooney, Michael dc.date.accessioned 2019-04-29T15:06:56Z dc.date.available 2019-04-29T15:06:56Z dc.date.issued 2006 dc.identifier.citation Michael Cooney, 'Methods for calculating option prices with early-exercise features', [thesis], Trinity College (Dublin, Ireland). School of Mathematics, 2006, pp 176 dc.identifier.other THESIS 7988 dc.identifier.uri http://hdl.handle.net/2262/86270 dc.description.abstract In 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.format 1 volume dc.language.iso en dc.publisher Trinity College (Dublin, Ireland). School of Mathematics dc.relation.isversionof http://stella.catalogue.tcd.ie/iii/encore/record/C__Rb13031899 dc.subject Mathematics, Ph.D. dc.subject Ph.D. Trinity College Dublin dc.title Methods for calculating option prices with early-exercise features dc.type thesis dc.type.supercollection thesis_dissertations dc.type.supercollection refereed_publications dc.type.qualificationlevel Doctoral dc.type.qualificationname Doctor of Philosophy (Ph.D.) dc.rights.ecaccessrights openAccess dc.format.extentpagination pp 176 dc.description.note TARA (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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