The exposition of the quadrature (QUAD) method (Andricopoulos, Widdicks, Duck, and
Newton, 2003. Universal option valuation using quadrature methods. Journal of Financial …

The early exercise property of American option changes the original Black-Scholes equation
to an inequality that cannot be solved via traditional finite difference method. Therefore …

This thesis improves on existing theoretical work on the pricing of mortgages as derivative
assets, generally termed the option-pricing approach to mortgage valuation. In order that …

This study proposes a forward Monte Carlo method for the pricing of American options. The
main advantage of this method is that it does not use backward induction as required by …

Occupation-time derivatives are complex barrier-type options where valuation depends on
the time spent beyond the barrier by the underlying asset. This thesis presents a model for …

It is well known that option valuation problems with multiple‐state variables are often
problematic to solve. When valuing options using lattice‐type techniques such as finite …

The aim of the study is to analyze uncertainties in broadband access network investments
and determine how real option valuation can be used to manage uncertainties. A rough …

In this thesis, an investigation into foreign exchange rate option (commonly called currency
option) pricing models is described. Using the example of cash currency options, the pricing …

The thesis focuses on pricing complex options using Monte Carlo simulations. Due to the
versatility of the Monte Carlo method, we are able to evaluate option prices with various …

With the removal of capital market restrictions, listing of domestic firms in foreign markets,
and privatization of stateowned companies, there has been a greater integration of …