Valuing American options is a central problem in option pricing since the early-exercise feature is very common among financial or insurance derivatives products. For high-dimensional American options, Monte Carlo simulation is generally regarded as the only viable approach to price them, and...

For many practitioners and market participants, the valuation of financialderivatives is considered of very high importance as its uses range from arisk management tool, to a speculative investment strategy or capital enhancement. A developing market requires efficient but accurate methods...

Master of Science

The paper ”Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion” aims on extending the restrictive Black-Scholes model by allowing volatility to evolve randomly. These models are used to price exotic derivatives and certificates. The first stochastic...