CEU Electronic Theses and Dissertations, 2013
| Author | Zalashko, Anastasiia |
|---|---|
| Title | Empirical Pricing of American Options |
| Summary | This thesis is devoted to the problem of pricing American options. The problem of pricing the options is the optimal stopping problem. Unfortunately, the future prices of the asset are unknown in advance. Therefore, the price of the option cannot be calculated straightforwardly. We can use the simulation methods together with nonparametric regression methods to get the approximation of the solution. We present the simulation results for the estimator of the continuation value function in which we use the data only available up to exact moment of time. In addition, we prove that the continuation values function in the memoryless model is non-increasing. |
| Supervisor | Györfi, László |
| Department | Mathematics MSc |
| Full text | https://www.etd.ceu.edu/2013/zalashko_anastasiia.pdf |
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