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dc.contributor.supervisorZhang, Yong (Mathematics)en_US
dc.contributor.authorMaswera, Tapiwa
dc.date.accessioned2017-11-23T21:31:40Z
dc.date.available2017-11-23T21:31:40Z
dc.date.issued2017
dc.identifier.urihttp://hdl.handle.net/1993/32694
dc.description.abstractThe linear complementarity formulation for American option pricing is studied. In particular, fixed point solution methods from literature are considered. Here simplified proofs for convergence criterion are provided. Further generalizations and modifications are also suggested alongside more tractable convergence analysis. Alternative formulations for the option pricing problem are also surveyed. These will be in the form of the Chapman-Kolmogorov lattice methods and the Modified Mellin transform framework. Some numerical experiments are then conducted for comparison purposes.en_US
dc.language.isoengen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectMathematicsen_US
dc.titleFixed point iterative methods for linear complementarity problems in American option pricingen_US
dc.typeinfo:eu-repo/semantics/masterThesis
dc.typemaster thesisen_US
dc.degree.disciplineMathematicsen_US
dc.contributor.examiningcommitteeLui, Shaun (Mathematics) Wang, Xikui (Statistics)en_US
dc.degree.levelMaster of Science (M.Sc.)en_US
dc.description.noteFebruary 2018en_US


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