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Full-Text Articles in Physical Sciences and Mathematics
Empirical Studies On Interest Rate Derivatives, Xudong Sun
Empirical Studies On Interest Rate Derivatives, Xudong Sun
UNLV Theses, Dissertations, Professional Papers, and Capstones
Interest rate models are the building blocks of financial market and the interest rate derivatives market is the largest derivatives market in the world. In this dissertation, we shall focus on numerical pricing of interest rate derivatives, estimating model parameters by Kalman filter, and studying various models empirically. We shall propose a front-fixing finite element method to price the American put option under the quadratic term structure framework and compare it with a trinomial tree method and common finite element method. Numerical test results show the superiority of our front-fixing finite element method in the aspects of computing the option …
Lattice Methods For The Valuation Of Options With Regime Switching, Atul Sancheti
Lattice Methods For The Valuation Of Options With Regime Switching, Atul Sancheti
UNLV Theses, Dissertations, Professional Papers, and Capstones
In this thesis, we have developed two numerical methods for evaluating option prices under the regime switching model of stock price processes: the Finite Difference lattice method and the Monte Carlo lattice method.
The Finite Difference lattice method is based on the explicit finite difference scheme for parabolic problems. The Monte Carlo lattice method is based on the simulation of the Markov chain. The advantage of these methods is their flexibility to compute the option prices for any given stock price at any given time. Numerical examples are presented to examine these methods. It has been shown that the proposed …