This dissertation considers an American put option written on a single underlying
which does not pay dividends, for which no closed form solution exists. As a conse-
quence, numerical techniques have been developed to estimate the value of the Amer-
ican put option. These include analytical approximations, tree or lattice methods,
¯nite di®erence methods, Monte Carlo simulation and integral representations. We
¯rst present the mathematical descriptions underlying these numerical techniques.
We then provide an examination of a selection of algorithms from each technique,
including implementation details, possible enhancements and a description of the
convergence behaviour. Finally, we compare the estimates and the execution times
of each of the algorithms considered.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/5891 |
| Date | 11 December 2008 |
| Creators | Randell, Sean David |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | application/pdf |
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