Numerical techniques for the American put

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dc.contributor.author Randell, Sean David
dc.date.accessioned 2008-12-11T10:00:51Z
dc.date.available 2008-12-11T10:00:51Z
dc.date.issued 2008-12-11T10:00:51Z
dc.identifier.uri http://hdl.handle.net/10539/5891
dc.description.abstract This dissertation considers an American put option written on a single underlying which does not pay dividends, for which no closed form solution exists. As a conse- quence, numerical techniques have been developed to estimate the value of the Amer- ican put option. These include analytical approximations, tree or lattice methods, ¯nite di®erence methods, Monte Carlo simulation and integral representations. We ¯rst present the mathematical descriptions underlying these numerical techniques. We then provide an examination of a selection of algorithms from each technique, including implementation details, possible enhancements and a description of the convergence behaviour. Finally, we compare the estimates and the execution times of each of the algorithms considered. en
dc.language.iso en en
dc.subject analytical approximations en
dc.subject American put en
dc.subject Monte Carlo simulation en
dc.subject tree method en
dc.subject lattice method en
dc.subject numerical techniques en
dc.title Numerical techniques for the American put en
dc.type Thesis en


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