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PRICING AN AMERICAN CALL ON DEVIDEND PAYING STOCK
Mälardalen University, Department of Mathematics and Physics.
2007 (English)Independent thesis Advanced level (degree of Magister), 15 points / 22,5 hpStudent thesis
Abstract [en]

Abstract

The aim of this paper is to implement and create a Java applet that performs the simulation of Fu and Hu model .The graphical result is presented on how investor can handle an American call option with discrete dividends paying stock. The technical of stochastic approximation algorithm is used to obtain the gradient, step size and observation length. The thesis is based on Fu and Hu model (2005).

Place, publisher, year, edition, pages
2007. , p. 42
Keywords [en]
MATHEMATICS/ APPLIED MATHEMATICS
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-475OAI: oai:DiVA.org:mdh-475DiVA, id: diva2:121002
Presentation
2007-11-21, room T3-065, T, Mälardalens högskola | Box 883 | 721 23, Västerås/Eskilstuna, 16:00
Uppsok
fysik/kemi/matematik
Supervisors
Examiners
Available from: 2007-12-11 Created: 2007-12-11

Open Access in DiVA

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ccf01f7f0330b421ca652336ed146f974afb68638f387017c6bee2205c50ab198c12799d
Type fulltextMimetype application/pdf

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CiteExportLink to record
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Citation style
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