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Pricing American compound options with stochastic volatility and correlated interest rates
Dissertation (MSc (Financial Engineering))--University of Pretoria, 2023
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2024
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| _version_ | 1867613669908545536 |
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| access_status_str | Open Access |
| author2 | van Vuuren, Gary |
| author_browse | van Vuuren, Gary |
| author_facet | van Vuuren, Gary |
| collection | Thesis |
| dc_rights_str_mv | © 2023 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc (Financial Engineering))--University of Pretoria, 2023 |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/97087 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:49.883Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2024 |
| publishDateRange | 2024 |
| publishDateSort | 2024 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/97087 Pricing American compound options with stochastic volatility and correlated interest rates van Vuuren, Gary ruannelrn@gmail.com Nel, Ruan UCTD Sustainable Development Goals (SDGs) Compound option Option pricing Stochastic process Stochastic stock price Stochastic volatility Stochastic interest rate Dissertation (MSc (Financial Engineering))--University of Pretoria, 2023 We explore several explicit and alternating-direction implicit (ADI) finite difference methods for pricing compound options with early exercise opportunities. Stock prices, stock price volatilities, and interest rates are assumed to follow correlated stochastic processes. Mathematics and Applied Mathematics MSc (Financial Engineering) Unrestricted Faculty of Natural and Agricultural Sciences 2024-07-18T08:22:21Z 2024-07-18T08:22:21Z 2024-09 2023-12-13 Dissertation * S2024 http://hdl.handle.net/2263/97087 DOI: https://doi.org/10.25403/UPresearchdata.26321326.v1 10.25403/UPresearchdata.26321326 en © 2023 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Sustainable Development Goals (SDGs) Compound option Option pricing Stochastic process Stochastic stock price Stochastic volatility Stochastic interest rate Pricing American compound options with stochastic volatility and correlated interest rates |
| title | Pricing American compound options with stochastic volatility and correlated interest rates |
| title_full | Pricing American compound options with stochastic volatility and correlated interest rates |
| title_fullStr | Pricing American compound options with stochastic volatility and correlated interest rates |
| title_full_unstemmed | Pricing American compound options with stochastic volatility and correlated interest rates |
| title_short | Pricing American compound options with stochastic volatility and correlated interest rates |
| title_sort | pricing american compound options with stochastic volatility and correlated interest rates |
| topic | UCTD Sustainable Development Goals (SDGs) Compound option Option pricing Stochastic process Stochastic stock price Stochastic volatility Stochastic interest rate |
| url | http://hdl.handle.net/2263/97087 |