Optimal Exercise Boundary of American Put Option

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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Main Author: LESTARI (NIM 20105001), RIRI
Format: Theses
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/11288
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:11288
spelling id-itb.:112882017-09-27T14:41:45ZOptimal Exercise Boundary of American Put Option LESTARI (NIM 20105001), RIRI Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/11288 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. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description 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.
format Theses
author LESTARI (NIM 20105001), RIRI
spellingShingle LESTARI (NIM 20105001), RIRI
Optimal Exercise Boundary of American Put Option
author_facet LESTARI (NIM 20105001), RIRI
author_sort LESTARI (NIM 20105001), RIRI
title Optimal Exercise Boundary of American Put Option
title_short Optimal Exercise Boundary of American Put Option
title_full Optimal Exercise Boundary of American Put Option
title_fullStr Optimal Exercise Boundary of American Put Option
title_full_unstemmed Optimal Exercise Boundary of American Put Option
title_sort optimal exercise boundary of american put option
url https://digilib.itb.ac.id/gdl/view/11288
_version_ 1820666104788287488

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