Pricing American compound options with stochastic volatility and correlated interest rates

dc.contributor.advisorvan Vuuren, Gary
dc.contributor.emailruannelrn@gmail.comen_US
dc.contributor.postgraduateNel, Ruan
dc.date.accessioned2024-07-18T08:22:21Z
dc.date.available2024-07-18T08:22:21Z
dc.date.created2024-09
dc.date.issued2023-12-13
dc.descriptionDissertation (MSc (Financial Engineering))--University of Pretoria, 2023en_US
dc.description.abstractWe explore several explicit and alternating-direction implicit (ADI) finite difference methods for pricing compound options with early exercise opportunities. Stock prices, stock price volatilities, and interest rates are assumed to follow correlated stochastic processes.en_US
dc.description.availabilityUnrestricteden_US
dc.description.degreeMSc (Financial Engineering)en_US
dc.description.departmentMathematics and Applied Mathematicsen_US
dc.description.facultyFaculty of Natural and Agricultural Sciencesen_US
dc.identifier.citation*en_US
dc.identifier.doi10.25403/UPresearchdata.26321326en_US
dc.identifier.otherS2024en_US
dc.identifier.urihttp://hdl.handle.net/2263/97087
dc.identifier.uriDOI: https://doi.org/10.25403/UPresearchdata.26321326.v1
dc.language.isoenen_US
dc.publisherUniversity of Pretoria
dc.rights© 2023 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.
dc.subjectUCTDen_US
dc.subjectSustainable Development Goals (SDGs)en_US
dc.subjectCompound optionen_US
dc.subjectOption pricingen_US
dc.subjectStochastic processen_US
dc.subjectStochastic stock priceen_US
dc.subjectStochastic volatilityen_US
dc.subjectStochastic interest rateen_US
dc.titlePricing American compound options with stochastic volatility and correlated interest ratesen_US
dc.typeDissertationen_US

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