On the Signi cance of Capturing the Early Exercise Boundary for the American Put Price
| dc.contributor.author | Bajqinca, Kushtrim | |
| dc.contributor.department | University of Gothenburg/Graduate School | eng |
| dc.contributor.department | Göteborgs universitet/Graduate School | swe |
| dc.date.accessioned | 2017-07-25T10:01:14Z | |
| dc.date.available | 2017-07-25T10:01:14Z | |
| dc.date.issued | 2017-07-25 | |
| dc.description | MSC in Finance | sv |
| dc.description.abstract | I show that the three-piece exponential boundary by Ju (1998) accurately 'tracks' the early exercise boundary. This results in more accurate option pricing than other comparable methods. Numerical results obtained in this paper agree that a multipiece exponential function approximation yields very accurate prices for short as well as moderate maturity put options. These results are partially at odds with previous research. | sv |
| dc.identifier.uri | http://hdl.handle.net/2077/53108 | |
| dc.language.iso | eng | sv |
| dc.relation.ispartofseries | Master Degree Project | sv |
| dc.relation.ispartofseries | 2017:142 | sv |
| dc.setspec.uppsok | SocialBehaviourLaw | |
| dc.subject | American put option | sv |
| dc.subject | Analytical approximation | sv |
| dc.subject | Early exercise boundary | sv |
| dc.title | On the Signi cance of Capturing the Early Exercise Boundary for the American Put Price | sv |
| dc.type | Text | |
| dc.type.degree | Master 2-years | |
| dc.type.uppsok | H2 |