We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed convex domain. In the context of a Brownian diffusion model, we provide a PDE...

In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till 8.6.2007. Our results on call options show...

In der Finanzmathematik hat der Besitzer einer amerikanische Option das Recht aber nicht die Pflicht, eine Aktie innerhalb eines bestimmten Zeitraums, für einen bestimmten Preis zu kaufen oder zu verkaufen. Die Bewertung einer amerikanische Option wird als so genanntes optimale stopping Problem...

This thesis deals with the application of binomial option pricing in a single-asset Black-Scholes market and its extension to multi-dimensional situations. Although the binomial approach is, in principle, an efficient method for lower dimensional valuation problems, there are at least two main...