Pricing of American call options using simulation and numerical analysis / Beh Woan Lin

• Main Author: Beh, Woan Lin
• Format: Thesis
• Published: 2011
• Subjects: QA Mathematics
• Online Access: http://studentsrepo.um.edu.my/3872/1/1._title_page%2C_abstract%2C_content.pdf; http://studentsrepo.um.edu.my/3872/2/Chapter_1_ver4.pdf; http://studentsrepo.um.edu.my/3872/3/Chapter_2_v5.pdf; http://studentsrepo.um.edu.my/3872/4/Chapter_3.pdf; http://studentsrepo.um.edu.my/3872/5/Chapter_4_ver8.pdf; http://studentsrepo.um.edu.my/3872/6/Chapter_5_ver7.pdf; http://studentsrepo.um.edu.my/3872/7/CONCLUSION.pdf; http://studentsrepo.um.edu.my/3872/8/REFERENCES_ver4.pdf; http://studentsrepo.um.edu.my/3872/9/Appendix_ver5.pdf; http://pendeta.um.edu.my/client/default/search/results?qu=Pricing+of+American+call+options+using+simulation+and+numerical+analysis&te=; http://studentsrepo.um.edu.my/3872/

Consider the American basket call option in the case where there are N underlying assets, the number of possible exercise times prior to maturity is finite, and the vector of asset prices is modeled using a Levy process. A numerical method based on regression and numerical integration is proposed...