S-Space College of Natural Sciences (자연과학대학) Dept. of Mathematical Sciences (수리과학부) Theses (Ph.D. / Sc.D._수리과학부)
Analytic valuation of American path-dependent options
경로에 의존하는 미국형 옵션의 해석적 가치 평가
- 자연과학대학 수리과학부
- Issue Date
- 서울대학교 대학원
- 학위논문 (박사)-- 서울대학교 대학원 : 수리과학부, 2016. 8. 강명주.
- American options are type of options that can be exercised anytime during their life. Therefore, the valuation of such options is usually classified as optimal stopping problems or free boundary problems. I derive the analytic pricing formulas and integral equations of American chained options, Russian options with finite time horizon, American floating strike lookback options, and American maximum quanto options. To verify the derived pricing formula and the integral equation satisfied by the free boundary are correct, we numerically solve the derived integral equations using recursive integration method or simple iterative method.