Weak Convergence of Approximation of American Option Price

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Rashidian, Ali | 2014

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 47179 (02)
University: Sharif University of Technology
Department: Mathematical Sciences
Advisor(s): Zohouri Zangeneh, Bijan
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
Keywords:
Functions ; Levy Process ; Skorohod Integral ; Weak Convergence

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