Comparison of Numerical Methods to Value European and American Put Options.

QR Code

Comparison of Numerical Methods to Value European and American Put Options.

The aim of this dissertation is to investigate and analyse various numerical methods with implementation techniques in order to determine the quick and accurate models that can be used in option pricing. The numerical approaches are able to produce accurate prices for both European and American opti...

Full description

Bibliographic Details
Main Author:	Mammadli, Tabriz
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2016
Online Access:	https://eprints.nottingham.ac.uk/36778/

Similar Items

Numerical performance of penalty method for American option pricing
by: Zhang, K., et al.
Published: (2009)

Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
by: Li, S., et al.
Published: (2014)

A numerical method for pricing European options with proportional transaction costs
by: Li, W., et al.
Published: (2014)

A finite difference method for pricing European and American options under a geometric Lévy process
by: Chen, W., et al.
Published: (2015)

Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
by: Lesmana, D., et al.
Published: (2015)

Pricing of American call options using regression and numerical integration
by: Beh, Woan Lin, et al.
Published: (2014)

A Superconvergent Fitted Finite Volume Method for Black–Scholes Equations Governing European and American Option Valuation
by: Wang, Song, et al.
Published: (2015)

Random binomial tree models and put options
by: Ganikhodjaev, Nasir, et al.
Published: (2012)

Comparison of different European and North American shoulder scoring systems
by: Alfahad, Nawaf
Published: (2018)

A Robust Numerical Scheme for Pricing American Options Under Regime Switching Based on Penalty Method
by: Zhang, Kai, et al.
Published: (2013)

A Power Penalty Approach to Numerical Solutions of Two-Asset American Options
by: Zhang, K., et al.
Published: (2009)

Numerical Methods for Option Pricing
by: Dokuchaev, Mikhail
Published: (2021)

Pricing European call options with interval-valued volatility and interest rate
by: Wang, Song
Published: (2024)

Price matching for multiple rescindable options and European options
by: Dokuchaev, Nikolai
Published: (2008)

Pricing of American call options using simulation and numerical analysis / Beh Woan Lin
by: Beh, Woan Lin
Published: (2011)

Convergence analysis of a monotonic penalty method for American option pricing
by: Zhang, K., et al.
Published: (2008)

Convergence analysis of power penalty method for American bond option pricing
by: Zhang, K., et al.
Published: (2013)

Putting a monetary value on biodiversity
Published: (2008)

Vertical restraints: an examination of American and European rules
by: Campbell, Raphael Martin
Published: (2000)

A numerical scheme for pricing american options with transaction costs under a jump diffusion process
by: Lesmana, D., et al.
Published: (2017)

Penalty method for pricing American-style Asian option with jumps diffusion process
by: Ibrahim, S. N. I., et al.
Published: (2023)

Credible delta gamma (Theta) normal value at risk for assessing European call option risk
by: Sulistianingsih, Evy, et al.
Published: (2024)

Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods
by: Kanthamanond, Piti
Published: (2009)

European sophisticated materialism versus American moral innocence
by: Moghadam, Davood Mohammadi, et al.
Published: (2014)

HKB32E- Selected Works in European and American
by: PPIK, Pusat Pengajian Ilmu Kemanusiaan
Published: (2018)

Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
by: Laham, Mohamed Faris, et al.
Published: (2020)

Putting the all important values back into human capital
by: Abd Razak, Dzulkifli
Published: (2006)

American exceptionalism in parole release and supervision: a European perspective
by: Van Zyl Smit, Dirk, et al.
Published: (2016)

Option pricing for rough Heston model using numerical methods
by: Siow, Woon Jeng
Published: (2021)

A penalty-based method from reconstructing smooth local volatility surface from American options
by: Zhang, K., et al.
Published: (2015)

Modeling of American-style Asian option under jump-diffusion process
by: Laham, Mohamed Faris
Published: (2024)

Quality management in Asian universities: lessons from the European and American universities
by: Asimiran, Soaib, et al.
Published: (2018)

Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform
by: Elbeleze, Asma Ali, et al.
Published: (2013)

A comparative review on American, European and Chinese standard for railway concrete sleeper
by: Li, Xiaofeng, et al.
Published: (2021)

Mathematical Models and Numerical Methods for Pricing Options on Investment Projects under Uncertainties
by: Li, Nan
Published: (2020)

Putting knowledge into practice
by: Menon, Sandhya
Published: (2017)

Staying put on campus
by: The Star
Published: (2021)

Analytical formula of European-style power call options in an MFBM with jumps model
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2022)

Intellectual property rights on information and market power: comparing the European and American protection of databases
by: Derclaye, Estelle
Published: (2007)

Communicating sustainablity: a web content analysis of North American, Asian and European firms
by: Gill, Donna, et al.
Published: (2008)