Numerical techniques for the American put
| 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.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.identifier.uri | http://hdl.handle.net/10539/5891 | |
| 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 |