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UBC Theses and Dissertations
An iterative method for pricing the American put options with dividends Coman, Florica
Abstract
In this thesis we present a fixed-front approach for pricing the American Put Options with dividends, combined with an iterative method. This approach transforms the free boundary problem into a nonlinear parabolic differential equation defined on a fixed spatial domain. The resulting equation has been solved using an implicit numerical scheme. The method can be easily applied to Barrier Options with dividends and numerical results were shown to compare well with the optimal exercise boundary for different dividend yields and different values of the barrier. All the programming work has been done in MATLAB and sample of codes can be found in Appendix B.
Item Metadata
Title |
An iterative method for pricing the American put options with dividends
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Creator | |
Publisher |
University of British Columbia
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Date Issued |
2005
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Description |
In this thesis we present a fixed-front approach for pricing the American Put Options
with dividends, combined with an iterative method. This approach transforms
the free boundary problem into a nonlinear parabolic differential equation defined
on a fixed spatial domain. The resulting equation has been solved using an implicit
numerical scheme. The method can be easily applied to Barrier Options with dividends
and numerical results were shown to compare well with the optimal exercise
boundary for different dividend yields and different values of the barrier.
All the programming work has been done in MATLAB and sample of codes can be
found in Appendix B.
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Genre | |
Type | |
Language |
eng
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Date Available |
2009-12-11
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Provider |
Vancouver : University of British Columbia Library
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Rights |
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.
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DOI |
10.14288/1.0079512
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URI | |
Degree | |
Program | |
Affiliation | |
Degree Grantor |
University of British Columbia
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Graduation Date |
2005-11
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Campus | |
Scholarly Level |
Graduate
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Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.