Efficient numerical methods for pricing American options
In this thesis we study efficient numerical methods for pricing American options. We apply option pricing models which are based on the Black and Scholes theory and Heston’s stochastic volatility model. Prices for American options are modelled by linear complementarity problems with one-dimensional...
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| Other Authors: | , |
| Format: | Doctoral dissertation |
| Language: | eng |
| Published: |
2005
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| Online Access: | https://jyx.jyu.fi/handle/123456789/75819 |
Search Result 1
Efficient numerical methods for pricing American options
Published 2021
JYX-julkaisuarkisto / JYX Digital Archive
Doctoral dissertation
Search Result 2
Efficient numerical methods for pricing American options
Published 2005
JYX-julkaisuarkisto / JYX Digital Archive
Doctoral dissertation