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Pricing of American call options using simulation and numerical analysis / Beh Woan Lin

Consider the American basket call option in the case where there are N underlying assets, the number of possible exercise times prior to maturity is finite, and the vector of asset prices is modeled using a Levy process. A numerical method based on regression and numerical integration is proposed...

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書誌詳細
第一著者:	Beh, Woan Lin
フォーマット:	学位論文
出版事項:	2011
主題:	QA Mathematics
オンライン･アクセス:	http://studentsrepo.um.edu.my/3872/1/1._title_page%2C_abstract%2C_content.pdf http://studentsrepo.um.edu.my/3872/2/Chapter_1_ver4.pdf http://studentsrepo.um.edu.my/3872/3/Chapter_2_v5.pdf http://studentsrepo.um.edu.my/3872/4/Chapter_3.pdf http://studentsrepo.um.edu.my/3872/5/Chapter_4_ver8.pdf http://studentsrepo.um.edu.my/3872/6/Chapter_5_ver7.pdf http://studentsrepo.um.edu.my/3872/7/CONCLUSION.pdf http://studentsrepo.um.edu.my/3872/8/REFERENCES_ver4.pdf http://studentsrepo.um.edu.my/3872/9/Appendix_ver5.pdf http://pendeta.um.edu.my/client/default/search/results?qu=Pricing+of+American+call+options+using+simulation+and+numerical+analysis&te= http://studentsrepo.um.edu.my/3872/
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