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Pricing American Style Asian OptionsUsing Dynamic Programming
Mälardalen University, School of Education, Culture and Communication.
Mälardalen University, School of Education, Culture and Communication.
2010 (English)Independent thesis Advanced level (degree of Master (Two Years)), 30 credits / 45 HE creditsStudent thesis
Abstract [en]

The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price.

Place, publisher, year, edition, pages
2010. , p. 46
Keywords [en]
American Options, Asian Options, Option pricing, Java Applet, American-Asian call options pricing
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-9880OAI: oai:DiVA.org:mdh-9880DiVA, id: diva2:326055
Presentation
2010-06-17, 16:15 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2010-10-08 Created: 2010-06-21 Last updated: 2010-10-08Bibliographically approved

Open Access in DiVA

fulltext(1074 kB)742 downloads
File information
File name FULLTEXT01.pdfFile size 1074 kBChecksum SHA-512
4d2a001e79dea0692e3b8dfc07130bf20d02e685085e5df0731241c63119ef23419efc0afdca9f7cd1d98eca171cd4d23b6c644e70ec22d1c7dfc8f818daf2df
Type fulltextMimetype application/pdf

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CiteExportLink to record
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