Publications
Detailed Information
Analytic valuation of American path-dependent options : 경로에 의존하는 미국형 옵션의 해석적 가치 평가
Cited 0 time in
Web of Science
Cited 0 time in Scopus
- Authors
- Advisor
- 강명주
- Major
- 자연과학대학 수리과학부
- Issue Date
- 2016-08
- Publisher
- 서울대학교 대학원
- Description
- 학위논문 (박사)-- 서울대학교 대학원 : 수리과학부, 2016. 8. 강명주.
- Abstract
- 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.
- Language
- Korean
- Files in This Item:
- Appears in Collections:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.