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Pricing methods for American options
Bibliography: leaves 89-94.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2014
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| _version_ | 1867614489756565504 |
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| access_status_str | Open Access |
| author | Duvel, Heimo |
| author2 | Abraham, Haim |
| author_browse | Abraham, Haim Duvel, Heimo |
| author_facet | Abraham, Haim Duvel, Heimo |
| author_sort | Duvel, Heimo |
| collection | Thesis |
| description | Bibliography: leaves 89-94. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/6903 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:52:51.828Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/6903 Pricing methods for American options Duvel, Heimo Abraham, Haim Troskie, Casper G Management and Business Administration Bibliography: leaves 89-94. This thesis is about the comparison of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered. These are Lattice Methods, Analytic Approximations and Monte Carlo Simulation. Methods will be contrasted in terms of accuracy and speed of the computed American option price. One particular method utilises regression when estimating the American option price. For this approach the impact of outliers and multicollinearity is examined and alternative regression models fitted. Monte Carlo Simulation is implemented to calculate early exercise probabilities of American options in the South African market. Results are compared for both call and put options. A test set of 3550 options is simulated with parameters mirroring the South African economy. On this set, the accuracy of all methods is assessed relative to a benchmark price, which is computed by a convergent lattice approach. Finally, American Symmetry is used to evaluate both put and call options. 2014-09-03T19:41:02Z 2014-09-03T19:41:02Z 2003 Master Thesis Masters MBusSc http://hdl.handle.net/11427/6903 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Management and Business Administration Duvel, Heimo Pricing methods for American options |
| thesis_degree_str | Master's |
| title | Pricing methods for American options |
| title_full | Pricing methods for American options |
| title_fullStr | Pricing methods for American options |
| title_full_unstemmed | Pricing methods for American options |
| title_short | Pricing methods for American options |
| title_sort | pricing methods for american options |
| topic | Management and Business Administration |
| url | http://hdl.handle.net/11427/6903 |
| work_keys_str_mv | AT duvelheimo pricingmethodsforamericanoptions |