mdh.sePublications
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility
Mälardalen University, School of Education, Culture and Communication.
2020 (English)Independent thesis Basic level (professional degree), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. To provide extensive numerical results, we experiment with different variations of the parameters and analyze the results. In particular, we study properties of the resulting early exercise boundaries. Moreover, we give three approximation methods for the pricing of European options under this model.

Place, publisher, year, edition, pages
2020. , p. 54
Series
LÄRARUTBILDNINGEN
Keywords [en]
Pricing American Options, Early Exercise Boundary, Markov-Modulated Volatility, Switching-State Volatility, Extended CRR Model.
National Category
Other Mathematics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:mdh:diva-47154OAI: oai:DiVA.org:mdh-47154DiVA, id: diva2:1396779
Subject / course
Mathematics/Applied Mathematics
Presentation
2020-02-07, Västerås, 12:27 (English)
Supervisors
Examiners
Available from: 2020-02-26 Created: 2020-02-26 Last updated: 2020-02-26Bibliographically approved

Open Access in DiVA

fulltext(631 kB)9 downloads
File information
File name FULLTEXT02.pdfFile size 631 kBChecksum SHA-512
4bc94ab7fc5ab88ef56418828ff3bcaa67cec9e20ba935179c9bbd74d329c4b83cb9d0562f6cc63f83c9b9b2bb3c1388f48c1e3e751d7cfb7d6fc79b50ac2601
Type fulltextMimetype application/pdf

By organisation
School of Education, Culture and Communication
Other MathematicsProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 9 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 31 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf