Hodnocení amerických opcí
Valuation of American options
diploma thesis (DEFENDED)
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Permanent link
http://hdl.handle.net/20.500.11956/27647Identifiers
Study Information System: 49230
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- Kvalifikační práce [11266]
Faculty / Institute
Faculty of Mathematics and Physics
Discipline
Financial and insurance mathematics
Department
Department of Probability and Mathematical Statistics
Date of defense
22. 9. 2009
Publisher
Univerzita Karlova, Matematicko-fyzikální fakultaLanguage
Czech
Grade
Excellent
This thesis deals with American option valuation. We use some numerical methods for that purpose. These methods are: Binomial Method, Finite Elements Method and Finite Differences Method. First we explain the basis issues of these methods. Then we use them for American put option valuation. In Mathematica we realized calculations making us of the above methods compare their outputs.