Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Adaptive tree techniques in option pricing
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Numerical Analysis, NA.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Adaptiva trädtekniker vid optionsprissättning (Swedish)
Abstract [en]

When pricing american option with discrete cash dividends standard tree techniques are insufficient. J. W. Nieuwenhuis and M. H. Vellekoop have presented a new tree technique involving interpolation to solve the problem. At ORC it has been observed that when using an adaptive mesh to increase the resolution of the tree around the dividends the speed of convergence is improved

n this paper we isolate the sources of errors in the tree model and explain why the adaptive mesh has a good effect. Using that knowledge we further improve the algorithm. We found that we could both improve the accuracy and reduce execution time for the algorithm.

Abstract [sv]

När man prissätter amerikanska optioner där underliggande har diskreta utdelningar så kan vanliga trädmodeller vara otillräckliga. J. W. Nieuwenhuis och M. H. Vellekoop har hittat en ny trädmetod där interpolation används för att lösa de problem som uppstår. På ORC har man upptäckt att genom att använda ett adaptivt träd för att öka punkttätheten i trädet kring utdelningarna så kan man få snabbare

konvergens av optionspriset.

 I detta arbete undersöker vi det adaptiva trädets effekter på prissättningsalgoritmen och isolerar olika felkällor. Vi använder den kunskapen till att effektivisera algoritmen för optimal noggrannhet och prestanda.

Place, publisher, year, edition, pages
2015.
Series
TRITA-MAT-E, 2015:18
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-167979OAI: oai:DiVA.org:kth-167979DiVA: diva2:813620
External cooperation
ORC Group, Stockholm
Subject / course
Scientific Computing
Educational program
Master of Science - Mathematics
Supervisors
Examiners
Available from: 2015-05-24 Created: 2015-05-24 Last updated: 2015-05-24Bibliographically approved

Open Access in DiVA

fulltext(1040 kB)263 downloads
File information
File name FULLTEXT01.pdfFile size 1040 kBChecksum SHA-512
c0d6b7761a2e459800af512d26bbe007c16b4a380a031f88d2a8f70794ac8fa1067ddc259065ec28ee09c4d8ad46a88c5f528d32d291a35c4fcf6c840824ba67
Type fulltextMimetype application/pdf

By organisation
Numerical Analysis, NA
Computational Mathematics

Search outside of DiVA

GoogleGoogle Scholar
Total: 263 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 107 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf