Title page for etd-0721105-143715


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URN etd-0721105-143715
Author Yu-Chun Chang
Author's Email Address No Public.
Statistics This thesis had been viewed 5102 times. Download 1760 times.
Department Applied Mathematics
Year 2004
Semester 2
Degree Master
Type of Document
Language English
Title Pricing American options in the jump diffusion model
Date of Defense 2005-06-16
Page Count 33
Keyword
  • early exercise boundary
  • McKean's equation.
  • jump diffusion model
  • American options
  • early exercise premium
  • Abstract In this study, we use the McKean's integral equation to evaluate the American option price for constant jump di
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0721105-143715.pdf
  • indicate accessible in a year
    Date of Submission 2005-07-21

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