dc.contributor.author | Salamonsen, Kathrine | |
dc.date.accessioned | 2017-09-08T12:11:45Z | |
dc.date.available | 2017-09-08T12:11:45Z | |
dc.date.issued | 2017 | |
dc.identifier.uri | http://hdl.handle.net/11250/2453783 | |
dc.description | Master's thesis Business Administration BE501 - University of Agder 2017 | nb_NO |
dc.description.abstract | 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. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Universitetet i Agder ; University of Agder | nb_NO |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | BE501 | nb_NO |
dc.subject | American Options | nb_NO |
dc.subject | Least Square Monte Carlo | nb_NO |
dc.subject | Binomial Method | nb_NO |
dc.subject | Implicit Finite Dfference Method | nb_NO |
dc.title | Valuing American Options with Implementation | nb_NO |
dc.type | Master thesis | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210 | nb_NO |
dc.subject.nsi | VDP::Matematikk og Naturvitenskap: 400::Informasjons- og kommunikasjonsvitenskap: 420::Algoritmer og beregnbarhetsteori: 422 | nb_NO |
dc.source.pagenumber | 56 p. | nb_NO |