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LUND UNIVERSITY LIBRARIES

Pricing of American Options

Andreasson, Erik (2013) FMS820 20131
Mathematical 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:
author
Andreasson, Erik
supervisor
organization
course
FMS820 20131
year
type
H2 - Master's Degree (Two Years)
subject
language
English
id
3991181
date added to LUP
2013-08-21 15:29:55
date last changed
2013-08-21 15:29:55
@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},
  language     = {eng},
  note         = {Student Paper},
  title        = {Pricing of American Options},
  year         = {2013},
}