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      Weak Convergence of Approximation of American Option Price

      , M.Sc. Thesis Sharif University of Technology Rashidian, Ali (Author) ; Zohouri Zangeneh, Bijan (Supervisor)
      Abstract
      In some pricing methods like European Option Price there are some deterministic exercise times but in American Option Price it is Stochastic Process. So, it would be very difficult to calculate the exact formula for it. So, we can use some approximation for this goal. The main purpose of the thesis is to consider of weak convergence for a special approximation  
    Total 1 records