Pricing of American Options
(2013) In Master's Theses in Mathematical Sciences FMS820 20131Mathematical Statistics
- Abstract (Swedish)
- This thesis investigates the free boundary value problem of pricing
American put options written on one underlying asset. In particular,
attention is given to nd an accurate approximation of the critical ex-
ercise boundary. The problem is approached using radial basis func-
tions in the shape of Gaussian densities, and basis functions in the
form of European put options.
Furthermore, the domain is extended into the strike direction.
Prices are computed for a range of strikes and maturities, and the
critical strike prices are retrieved.
Finally, the Merton Jump Diusion model is considered generating
a partial integro dierential equation. Using Gaussian densities, prices
and boundaries are computed on the extended domain.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3991181
- author
- Andreasson, Erik
- supervisor
- organization
- course
- FMS820 20131
- year
- 2013
- type
- H2 - Master's Degree (Two Years)
- subject
- publication/series
- Master's Theses in Mathematical Sciences
- report number
- LUTFMS-3222-2013
- ISSN
- 1404-6342
- other publication id
- 2013:E44
- language
- English
- id
- 3991181
- date added to LUP
- 2013-08-21 15:29:55
- date last changed
- 2024-10-18 16:47:27
@misc{3991181, abstract = {{This thesis investigates the free boundary value problem of pricing American put options written on one underlying asset. In particular, attention is given to nd an accurate approximation of the critical ex- ercise boundary. The problem is approached using radial basis func- tions in the shape of Gaussian densities, and basis functions in the form of European put options. Furthermore, the domain is extended into the strike direction. Prices are computed for a range of strikes and maturities, and the critical strike prices are retrieved. Finally, the Merton Jump Diusion model is considered generating a partial integro dierential equation. Using Gaussian densities, prices and boundaries are computed on the extended domain.}}, author = {{Andreasson, Erik}}, issn = {{1404-6342}}, language = {{eng}}, note = {{Student Paper}}, series = {{Master's Theses in Mathematical Sciences}}, title = {{Pricing of American Options}}, year = {{2013}}, }