Efficient numerical methods for the valuation of American barrier options

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dc.contributor.authorDlamini, Mkhululi
dc.date.accessioned2024-07-02T09:15:19Z
dc.date.available2024-07-02T09:15:19Z
dc.date.issued2002
dc.date.updated2024-07-01T13:22:30Z
dc.description.abstract[Thesis has an accompanying disc.] The barrier option is the most popular exotic option traded today. Because such options have a discontinuous payoff pattern, their accurate valuation is a particular challenge. Most popular in the OTC market, a lack of a liquid secondary market in these products has meant that very often, an early exercise feature is added to the contract. This makes it of particular interest to study efficient numerical methods for the valuation of American barrier options . This thesis considers three methods that have been developed to price such options; the Ritchken Trinomial Method <RTM), the Finite Difference Method <FDM> and the Finite Element Method <FEM>. First an account is given of the barrier option pricing problem accompanied by a description of the behavior of barrier option price and delta curves. Then the theory and implementation of each method is described in turn. Finally a detailed computational analysis is given where the three methods are compared in pricing and hedging applications, with concluding remarks on the performance results.
dc.identifier.apacitationDlamini, M. (2002). <i>Efficient numerical methods for the valuation of American barrier options</i>. (). ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/40094en_ZA
dc.identifier.chicagocitationDlamini, Mkhululi. <i>"Efficient numerical methods for the valuation of American barrier options."</i> ., ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2002. http://hdl.handle.net/11427/40094en_ZA
dc.identifier.citationDlamini, M. 2002. Efficient numerical methods for the valuation of American barrier options. . ,Faculty of Science ,Department of Mathematics and Applied Mathematics. http://hdl.handle.net/11427/40094en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Dlamini, Mkhululi AB - [Thesis has an accompanying disc.] The barrier option is the most popular exotic option traded today. Because such options have a discontinuous payoff pattern, their accurate valuation is a particular challenge. Most popular in the OTC market, a lack of a liquid secondary market in these products has meant that very often, an early exercise feature is added to the contract. This makes it of particular interest to study efficient numerical methods for the valuation of American barrier options . This thesis considers three methods that have been developed to price such options; the Ritchken Trinomial Method <RTM), the Finite Difference Method <FDM> and the Finite Element Method <FEM>. First an account is given of the barrier option pricing problem accompanied by a description of the behavior of barrier option price and delta curves. Then the theory and implementation of each method is described in turn. Finally a detailed computational analysis is given where the three methods are compared in pricing and hedging applications, with concluding remarks on the performance results. DA - 2002 DB - OpenUCT DP - University of Cape Town KW - Mathematics and Applied Mathematics LK - https://open.uct.ac.za PY - 2002 T1 - Efficient numerical methods for the valuation of American barrier options TI - Efficient numerical methods for the valuation of American barrier options UR - http://hdl.handle.net/11427/40094 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/40094
dc.identifier.vancouvercitationDlamini M. Efficient numerical methods for the valuation of American barrier options. []. ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2002 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/40094en_ZA
dc.language.rfc3066eng
dc.publisher.departmentDepartment of Mathematics and Applied Mathematics
dc.publisher.facultyFaculty of Science
dc.subjectMathematics and Applied Mathematics
dc.titleEfficient numerical methods for the valuation of American barrier options
dc.typeThesis / Dissertation
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMSc
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