https://www.mdu.se/

mdu.sePublications
Change search
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
Bachelor Thesis in Applied Mathematics with Specilaization in Analytical Finance: Short Maturity Asymptotic Expansions for Pricing American Put Options in a model with Stochastic Volatility and Stochastic Interest Rate.
Mälardalen University, School of Education, Culture and Communication.
2009 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

In this thesis, we will be studying the short-maturity asymptotic analysis of American put option in a so-called multifactor model introduced by Medvedev and Scaillet (2009). In such a multifactor model, the underlying stock price is assumed to follow the same stochastic process as in the classical Black-Scholes model. In addition, the volatility and interest rates are not constant any more, they are also assumed to follow some stochastic processes. In Medvedev & Scaillet (2009), a short-maturity asymptotic analysis of American put price in the multifactor model has been carried out and a general formula for the asymptotic expansion of price is given. However, the explicit formula for the coefficients in the expansion is not provided. In this thesis, we examine and extend the asymptotic analysis done by the aforementioned scholars and determine the coefficients of the expansion. The main result of the thesis is a 2nd order asymptotic expansion for the American put with the explicit formula for the coefficients given.

Place, publisher, year, edition, pages
2009. , p. 20
Identifiers
URN: urn:nbn:se:mdh:diva-9440OAI: oai:DiVA.org:mdh-9440DiVA, id: diva2:306271
Presentation
2009-12-01, U2-036, 13:15 (English)
Uppsok

Supervisors
Examiners
Available from: 2010-04-08 Created: 2010-03-29 Last updated: 2010-04-08Bibliographically approved

Open Access in DiVA

No full text in DiVA

By organisation
School of Education, Culture and Communication

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 241 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