Pricing methods for American options

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dc.contributor.advisorAbraham, Haimen_ZA
dc.contributor.advisorTroskie, Casper Gen_ZA
dc.contributor.authorDuvel, Heimoen_ZA
dc.date.accessioned2014-09-03T19:41:02Z
dc.date.available2014-09-03T19:41:02Z
dc.date.issued2003en_ZA
dc.descriptionBibliography: leaves 89-94.en_ZA
dc.description.abstractThis thesis is about the comparison of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered. These are Lattice Methods, Analytic Approximations and Monte Carlo Simulation. Methods will be contrasted in terms of accuracy and speed of the computed American option price. One particular method utilises regression when estimating the American option price. For this approach the impact of outliers and multicollinearity is examined and alternative regression models fitted. Monte Carlo Simulation is implemented to calculate early exercise probabilities of American options in the South African market. Results are compared for both call and put options. A test set of 3550 options is simulated with parameters mirroring the South African economy. On this set, the accuracy of all methods is assessed relative to a benchmark price, which is computed by a convergent lattice approach. Finally, American Symmetry is used to evaluate both put and call options.en_ZA
dc.identifier.apacitationDuvel, H. (2003). <i>Pricing methods for American options</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/6903en_ZA
dc.identifier.chicagocitationDuvel, Heimo. <i>"Pricing methods for American options."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2003. http://hdl.handle.net/11427/6903en_ZA
dc.identifier.citationDuvel, H. 2003. Pricing methods for American options. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Duvel, Heimo AB - This thesis is about the comparison of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered. These are Lattice Methods, Analytic Approximations and Monte Carlo Simulation. Methods will be contrasted in terms of accuracy and speed of the computed American option price. One particular method utilises regression when estimating the American option price. For this approach the impact of outliers and multicollinearity is examined and alternative regression models fitted. Monte Carlo Simulation is implemented to calculate early exercise probabilities of American options in the South African market. Results are compared for both call and put options. A test set of 3550 options is simulated with parameters mirroring the South African economy. On this set, the accuracy of all methods is assessed relative to a benchmark price, which is computed by a convergent lattice approach. Finally, American Symmetry is used to evaluate both put and call options. DA - 2003 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2003 T1 - Pricing methods for American options TI - Pricing methods for American options UR - http://hdl.handle.net/11427/6903 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/6903
dc.identifier.vancouvercitationDuvel H. Pricing methods for American options. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2003 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/6903en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherManagement and Business Administrationen_ZA
dc.titlePricing methods for American optionsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMBusScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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