In this thesis we study three pricing problems related to American type financial contracts: firstly, we derive a closed form upper bound for American put options. This upper bound can be used in conjunction with traditional Monte Carlo simulation, which usually generates a lower bound, to obtain a better estimate for the option price; secondly, we solve an optimal control problem and derive an optimal strategy for the owner of a stock which is subject to default risk; thirdly, we prove an ordering result for American options with a piecewise linear payoff under a family of equivalent martingale measures used in stochastic volatility models.... a stochastic volatility is usually equivalent to a Generalized Au- toregressive Conditional Heteroscedasticity, or GARCH model, which is very popular in empirical economics and finance research. For example, the Heston model correspondsanbsp;...
|Title||:||Topics in Pricing American Type Financial Contracts|
|Publisher||:||ProQuest - 2007|