van Vuuren, Gary2024-07-182024-07-182024-092023-12-13*S2024http://hdl.handle.net/2263/97087DOI: https://doi.org/10.25403/UPresearchdata.26321326.v1Dissertation (MSc (Financial Engineering))--University of Pretoria, 2023We 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© 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.UCTDSustainable Development Goals (SDGs)Compound optionOption pricingStochastic processStochastic stock priceStochastic volatilityStochastic interest rateDissertationu1906369610.25403/UPresearchdata.26321326