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American Option Pricing in Regime Switching Models

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dc.contributor.advisor GOSWAMI, ANINDYA
dc.contributor.author BASIDONI, SHAMANT
dc.date.accessioned 2022-12-29T09:28:05Z
dc.date.available 2022-12-29T09:28:05Z
dc.date.issued 2022-12
dc.identifier.citation 68 en_US
dc.identifier.uri http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/7545
dc.description.abstract The objective of this project is to examine the literature on the pricing of American options in some theoretical market models. The initial motivation was to examine the pricing of American options in a semi-Markov regime-switching model, which did not become possible due to the time constraints. This thesis presents a survey of literature I have covered in this regard. In the first chapter, some theorems and results from stochastic calculus, needed for understanding the literature, are summarised. In the second chapter contingent claims, hedging, and stochastic representations of option prices are examined. The third chapter examines literature about pricing American options under a regime-switching model. Since it is often a difficult task to get closed-form solutions for pricing options, certain approximation methods are listed. en_US
dc.language.iso en en_US
dc.subject American option pricing en_US
dc.title American Option Pricing in Regime Switching Models en_US
dc.type Thesis en_US
dc.description.embargo One Year en_US
dc.type.degree BS-MS en_US
dc.contributor.department Dept. of Mathematics en_US
dc.contributor.registration 20171011 en_US


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  • MS THESES [1705]
    Thesis submitted to IISER Pune in partial fulfilment of the requirements for the BS-MS Dual Degree Programme/MSc. Programme/MS-Exit Programme

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