Optimal Exercise Boundary of American Put Option
This work deals with American Put Option. Determining American Put Option is more difficult than European Put Option because the boundary is ambiguously known when the option must be exercised. This problem will be transformed to Partial Differensial Equation (PDE). The solution is obtained by using...
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| المؤلف الرئيسي: | |
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| التنسيق: | Theses |
| اللغة: | Indonesia |
| الوصول للمادة أونلاين: | https://digilib.itb.ac.id/gdl/view/11288 |
| الوسوم: |
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| المؤسسة: | Institut Teknologi Bandung |
| اللغة: | Indonesia |
| الملخص: | This work deals with American Put Option. Determining American Put Option is more difficult than European Put Option because the boundary is ambiguously known when the option must be exercised. This problem will be transformed to Partial Differensial Equation (PDE). The solution is obtained by using Green Function to convert the PDE to be integral equation. This integral equation is solved asymptotically. The result is optimal exercise boundary and the price of American Put Option. |
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