Valuing American Options with Implementation
Master thesis
Permanent lenke
http://hdl.handle.net/11250/2453783Utgivelsesdato
2017Metadata
Vis full innførselSamlinger
Sammendrag
This master thesis aims to value American put options by using di erent numerical
methods. Three valuation methods for valuing an American put option will be pre-
sented and analyzed; the binomial method, the implicit nite di erence method and the
least squares Monte Carlo approach (LSM). Due to the opportunity of early exercise
of American option contracts, our goal is to nd the optimal exercise strategy which
maximizes the payo by using numerical methods. We provide examples of how to
implement each algorithm in di erent types of software. A comparison of the methods
are given at the end.
Beskrivelse
Master's thesis Business Administration BE501 - University of Agder 2017