Abstract The aim of this paper is to implement and create a Java applet that performs the simulation of Fu and Hu model .The graphical result is presented on how investor can handle an American call option with discrete dividends paying stock. The technical of stochastic approximation algorithm is used to obtain the gradient, step size and observation length. The thesis is based on Fu and Hu model (2005).
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-475 |
| Date | January 2007 |
| Creators | Malosha, Peter |
| Publisher | Mälardalens högskola, Institutionen för matematik och fysik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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