University of Maryland LibrariesDigital Repository at the University of Maryland
    • Login
    View Item 
    •   DRUM
    • Theses and Dissertations from UMD
    • UMD Theses and Dissertations
    • View Item
    •   DRUM
    • Theses and Dissertations from UMD
    • UMD Theses and Dissertations
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Computational Methods for Game Options

    Thumbnail
    View/Open
    Vaczlavik_umd_0117E_12369.pdf (649.3Kb)
    No. of downloads: 693

    Date
    2011
    Author
    Vaczlavik, Lucaci
    Advisor
    von Petersdorff, Tobias
    Madan, Dilip
    Metadata
    Show full item record
    Abstract
    Game options are American-type options with the additional property that the seller of the option has the right the cancel the option at any time prior to the buyer exercise or the expiration date of the option. The cancelation by the seller can be achieved through a payment of an additional penalty to the exercise payoff or using a payoff process greater than or equal to the exercise value. The main contribution of this thesis is a numerical framework for computing the value of such options with finite maturity time as well as in the perpetual setting. This framework employs the theory of weak solutions of parabolic and elliptic variational inequalities. These solutions will be computed using finite element methods. The computational advantage of this framework is that it allows the user to go from one type of process to another by changing the stiffness matrix in the algorithm. Several types of Levy processes will be used to show the functionality of this method. The processes considered are of pure diffusion type (Black-Scholes model), the CGMY process as a pure jump model and a combination of the two for the case of jump diffusion. Computational results of the option prices as well as exercise, hold and cancelation regions are shown together with numerical estimates of the error convergence rates with respect to the L<sub>2</sub> norm and the energy norm.
    URI
    http://hdl.handle.net/1903/12086
    Collections
    • Computer Science Theses and Dissertations
    • Mathematics Theses and Dissertations
    • UMD Theses and Dissertations

    DRUM is brought to you by the University of Maryland Libraries
    University of Maryland, College Park, MD 20742-7011 (301)314-1328.
    Please send us your comments.
    Web Accessibility
     

     

    Browse

    All of DRUMCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    LoginRegister
    Pages
    About DRUMAbout Download Statistics

    DRUM is brought to you by the University of Maryland Libraries
    University of Maryland, College Park, MD 20742-7011 (301)314-1328.
    Please send us your comments.
    Web Accessibility