Pricing American Style Asian OptionsUsing Dynamic Programming

The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price. Självst...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Hauptverfasser:	Calvo Diego R. , Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Musatov Michail , Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Calvo Diego R., College of Mälardalen, Academy of Education, Culture and Communication, Musatov Mikhail, College of Mälardalen, Academy of Education, Culture and Communication
Format:	Web Resource
Sprache:	eng ; swe
Online-Zugang:	Volltext bestellen
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Beschreibung
Zusammenfassung:	The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price. Självständigt arbete på avancerad nivå (masterexamen) 30 poäng / 45 hp Självständigt arbete på avancerad nivå (masterexamen) 30 poäng / 45 hp The objective of this study is to implement a Java applet for calculating Bermudan/American-Asian call option prices and to obtain their respective optimal exercise strategies. Additionally, the study presents a computational time analysis and the effect of the variables on the option price.