Methods for calculating option prices with early-exercise features
Citation:
Michael Cooney, 'Methods for calculating option prices with early-exercise features', [thesis], Trinity College (Dublin, Ireland). School of Mathematics, 2006, pp 176Download Item:
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.
Author: Cooney, Michael
Advisor:
Sexton, JimQualification name:
Doctor of Philosophy (Ph.D.)Publisher:
Trinity College (Dublin, Ireland). School of MathematicsNote:
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Full text availableKeywords:
Mathematics, Ph.D., Ph.D. Trinity College DublinMetadata
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