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Pricing high-dimensional Bermudan Options: an iterative construction of the optimal stopping time

Koebrugge, J. (2008) Pricing high-dimensional Bermudan Options: an iterative construction of the optimal stopping time. Bachelor's Thesis, Industrial Engineering and Management.

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Abstract

In this paper one specific method to price Bermudan options is discussed. This method is developed by Kolodko and Schoenmakers [7]. The main result is an iterative construction of a lower and upper bound of the Snell envelope via a convergent sequence of stopping families. This sequence converges to the optimal stopping time. With this method one can approximate the Snell envelope from below and from above.

Item Type: Thesis (Bachelor's Thesis)
Degree programme: Industrial Engineering and Management
Thesis type: Bachelor's Thesis
Language: English
Date Deposited: 15 Feb 2018 07:28
Last Modified: 15 Feb 2018 07:28
URI: http://fse.studenttheses.ub.rug.nl/id/eprint/8448

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