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- W632292014 abstract "In this thesis we investigate di erent numerical methods to price American put options. We will consider the corresponding optimal stopping problem and the free boundary formulation. First we discuss what an optimal stopping problem is, then we will solve the problem with the binomial method developed by Cox, Ross and Rubinstein and with the method that was derived by Longsta and Schwartz. We will also use MATLABs built-in binomial method. For the free boundary problem we use various nite di erence methods. Acknowledgements I want to thank my supervisor Johan Tysk for his support and guidance. I would like to thank Leif Olvang for his enormous help with the enlish language. I also want to thank Ole Brus, Daniel Siltberg, Karin Nilsson and Valentina Chapovalova for their help and support. Finally, I want to thank my family and all my friends. List of Figures 1 Value of an option at expiration. . . . . . . . . . . . . . . . . . . . . . . . 1 2 Comparison between American options and European options. . . . . . . 3 3 Di erent curves. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 4 The rst two time steps in the Binomial method for the stock price values 10 List of Tables 1 Binomial methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 2 Choice of basis functions. . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 3 Binomial and Monte Carlo methods a numerical experiment. . . . . . . . 14 4 Finite di erence methods. . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 5 Binomial and Monte Carlo method vs. Finite Di erences . . . . . . . . . 21 CONTENTS CONTENTS" @default.
- W632292014 created "2016-06-24" @default.
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- W632292014 date "2008-01-01" @default.
- W632292014 modified "2023-09-26" @default.
- W632292014 title "Pricing American Put Options using Numerical Methods" @default.
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