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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| التنسيق: | Theses |
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| المؤسسة: | Institut Teknologi Bandung |
| اللغة: | Indonesia |
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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_ |
1825532925555245056 |