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A Comparative Study of American Option Valuation and ComputationRodolfo, Karl January 2007 (has links)
Doctor of Philosophy (PhD) / For many practitioners and market participants, the valuation of financial derivatives is considered of very high importance as its uses range from a risk management tool, to a speculative investment strategy or capital enhancement. A developing market requires efficient but accurate methods for valuing financial derivatives such as American options. A closed form analytical solution for American options has been very difficult to obtain due to the different boundary conditions imposed on the valuation problem. Following the method of solving the American option as a free boundary problem in the spirit of the "no-arbitrage" pricing framework of Black-Scholes, the option price and hedging parameters can be represented as an integral equation consisting of the European option value and an early exercise value dependent upon the optimal free boundary. Such methods exist in the literature and along with risk-neutral pricing methods have been implemented in practice. Yet existing methods are accurate but inefficient, or accuracy has been compensated for computational speed. A new numerical approach to the valuation of American options by cubic splines is proposed which is proven to be accurate and efficient when compared to existing option pricing methods. Further comparison is made to the behaviour of the American option's early exercise boundary with other pricing models.
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Optimal Control of the Classical Two-Phase Stefan Problem in Level Set FormulationBernauer, Martin K., Herzog, Roland 02 November 2010 (has links) (PDF)
Optimal control (motion planning) of the free interface in classical two-phase Stefan problems is considered. The evolution of the free interface is modeled by a level set function. The first-order optimality system is derived on a formal basis. It provides gradient information based on the adjoint temperature and adjoint level set function. Suitable discretization schemes for the forward and adjoint systems are described. Numerical examples verify the correctness and flexibility of the proposed scheme.
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A Comparative Study of American Option Valuation and ComputationRodolfo, Karl January 2007 (has links)
Doctor of Philosophy (PhD) / For many practitioners and market participants, the valuation of financial derivatives is considered of very high importance as its uses range from a risk management tool, to a speculative investment strategy or capital enhancement. A developing market requires efficient but accurate methods for valuing financial derivatives such as American options. A closed form analytical solution for American options has been very difficult to obtain due to the different boundary conditions imposed on the valuation problem. Following the method of solving the American option as a free boundary problem in the spirit of the "no-arbitrage" pricing framework of Black-Scholes, the option price and hedging parameters can be represented as an integral equation consisting of the European option value and an early exercise value dependent upon the optimal free boundary. Such methods exist in the literature and along with risk-neutral pricing methods have been implemented in practice. Yet existing methods are accurate but inefficient, or accuracy has been compensated for computational speed. A new numerical approach to the valuation of American options by cubic splines is proposed which is proven to be accurate and efficient when compared to existing option pricing methods. Further comparison is made to the behaviour of the American option's early exercise boundary with other pricing models.
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Optimal Control of the Classical Two-Phase Stefan Problem in Level Set FormulationBernauer, Martin K., Herzog, Roland January 2010 (has links)
Optimal control (motion planning) of the free interface in classical two-phase Stefan problems is considered. The evolution of the free interface is modeled by a level set function. The first-order optimality system is derived on a formal basis. It provides gradient information based on the adjoint temperature and adjoint level set function. Suitable discretization schemes for the forward and adjoint systems are described. Numerical examples verify the correctness and flexibility of the proposed scheme.:1 Introduction
2 Model Equations
3 The Optimal Control Problem and Optimality Conditions
4 Discretization of the Forward and Adjoint Systems
5 Numerical Results
6 Discussion and Conclusion
A Formal Derivation of the Optimality Conditions
B Transport Theorems and Shape Calculus
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On Microelectromechanical Systems with General Permittivity / Sur des microsystèmes électromécaniques avec une permittivité généraleLienstromberg, Christina 22 January 2016 (has links)
Dans le cadre de la thèse des modèles physico-mathématiques pour des microsystèmes électromécaniques avec une permittivité générale sont développés et analysés par des méthodes mathématiques modernes du domaine des équations aux dérivées partielles. En particulier ces systèmes sont à frontière libre et pour conséquence difficiles à traiter. Des méthodes numériques ont été développées pour valider les résultats analytiques obtenus. / In the framework of this thesis physical/mathematical models for microelectromechanical systems with general permittivity have been developed and analysed with modern mathematical methods from the domain of partial differential equations. In particular these systems are moving boundary problems and thus difficult to handle. Numerical methods have been developed in order to validate the obtained analytical results.
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Numerical methods for pricing American put options under stochastic volatility / Dominique JoubertJoubert, Dominique January 2013 (has links)
The Black-Scholes model and its assumptions has endured its fair share of criticism.
One problematic issue is the model’s assumption that market volatility is constant.
The past decade has seen numerous publications addressing this issue by adapting the
Black-Scholes model to incorporate stochastic volatility. In this dissertation, American
put options are priced under the Heston stochastic volatility model using the Crank-
Nicolson finite difference method in combination with the Projected Over-Relaxation
method (PSOR). Due to the early exercise facility, the pricing of American put options
is a challenging task, even under constant volatility. Therefore the pricing problem under
constant volatility is also included in this dissertation. It involves transforming the
Black-Scholes partial differential equation into the heat equation and re-writing the pricing
problem as a linear complementary problem. This linear complimentary problem is
solved using the Crank-Nicolson finite difference method in combination with the Projected
Over-Relaxation method (PSOR). The basic principles to develop the methods
necessary to price American put options are covered and the necessary numerical methods
are derived. Detailed algorithms for both the constant and the stochastic volatility
models, of which no real evidence could be found in literature, are also included in this
dissertation. / MSc (Applied Mathematics), North-West University, Potchefstroom Campus, 2013
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Numerical methods for pricing American put options under stochastic volatility / Dominique JoubertJoubert, Dominique January 2013 (has links)
The Black-Scholes model and its assumptions has endured its fair share of criticism.
One problematic issue is the model’s assumption that market volatility is constant.
The past decade has seen numerous publications addressing this issue by adapting the
Black-Scholes model to incorporate stochastic volatility. In this dissertation, American
put options are priced under the Heston stochastic volatility model using the Crank-
Nicolson finite difference method in combination with the Projected Over-Relaxation
method (PSOR). Due to the early exercise facility, the pricing of American put options
is a challenging task, even under constant volatility. Therefore the pricing problem under
constant volatility is also included in this dissertation. It involves transforming the
Black-Scholes partial differential equation into the heat equation and re-writing the pricing
problem as a linear complementary problem. This linear complimentary problem is
solved using the Crank-Nicolson finite difference method in combination with the Projected
Over-Relaxation method (PSOR). The basic principles to develop the methods
necessary to price American put options are covered and the necessary numerical methods
are derived. Detailed algorithms for both the constant and the stochastic volatility
models, of which no real evidence could be found in literature, are also included in this
dissertation. / MSc (Applied Mathematics), North-West University, Potchefstroom Campus, 2013
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Étude qualitative des solutions du système de Navier-Stokes incompressible à densité variable / Qualitative study of solutions of the system of Navier-Stokes equations with variable densityZhang, Xin 29 September 2017 (has links)
Dans cette thèse, on s'intéresse à deux problèmes provenant de l'étude mathématique des fluides incompressibles visqueux : la propagation de la régularité tangentielle et le mouvement d'une surface libre.La première question concerne plus particulièrement l'étude qualitative de l'évolution de quantités thermodynamiques telles que la température dans l'équation de Boussinesq sans diffusion et la densité dans le système de Navier-Stokes non homogène. Typiquement, on suppose que ces deux quantités sont, à l'instant initial, discontinues le long d'une interface à régularité h"oldérienne. Comme conséquence de résultats de propagation de régularité tangentielle pour le champ de vitesses, on établit que la régularité des interfaces persiste pour tout temps aussi bien en dimension deux d'espace, qu'en dimension supérieure (avec condition de petitesse). Notre approche suit celle du travail de J.-Y. Chemin dans les années 90 pour le problème des poches de tourbillon dans les fluides incompressiblesparfaits.Dans le cas présent, outre cette hypothèse de régularité tangentielle, nous n'avons besoin que d'une régularité critique sur le champ de vitesses.La démonstration repose sur le calcul para-différentiel et les espaces de multiplicateurs.Dans la dernière partie de la thèse, on considère le problème à frontière libre pour le système de Navier-Stokes incompressible à deux phases. Ce système permet de décrire l'évolution d'un mélange de deux fluides non miscibles tels que l'huile et l'eau par exemple. Différents cas de figure sont étudiés : le cas d'un réservoir borné, d'une goutte ou d'une rivière à profondeur finie.On établit l'existence et l'unicité à temps petit pour ce problème. Notre démonstration repose fortement sur des propriétés de régularité maximale parabolique de type $L_p$-$L_q / This thesis is dedicated to two different problems in the mathematical study of the viscous incompressible fluids: the persistence of tangential regularity and the motion of a free surface.The first problem concerns the study of the qualitative properties of some thermodynamical quantities in incompressible fluid models, such as the temperature for Boussinesq system with no diffusion and the density for the non-homogeneous Navier-Stokes system. Typically, we assume those two quantities to be initially piecewise constant along an interface with H"older regularity.As a consequence of stability of certain directional smoothness of the velocity field, we establish that the regularity of the interfaces persist globally with respect to time both in the two dimensional and higher dimensional cases (under some smallness condition). Our strategy is borrowed from the pioneering works by J.-Y.Chemin in 1990s on the vortex patch problem for ideal fluids.Let us emphasize that, apart from the directional regularity, we only impose rough (critical) regularity on the velocity field. The proof requires tools from para-differential calculus and multiplier space theory.In the last part of this thesis, we are concerned with the free boundary value problem for two-phase density-dependent Navier-Stokes system.This model is used to describe the motion of two immiscible liquids, like the oil and the water. Such mixture may occur in different situations, such as in a fixed bounded container, in a moving bounded droplet or in a river with finite depth. We establish the short time well-posedness for this problem. Our result strongly relies on the $L_p$-$L_q$ maximal regularity theoryfor parabolic equations
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基礎的及び応用的数値アルゴリズムの総合的研究三井, 斌友 03 1900 (has links)
科学研究費補助金 研究種目:総合研究(A) 課題番号:04302008 研究代表者:三井 斌友 研究期間:1992-1994年度
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