<div class="csl-bib-body">
<div class="csl-entry">Höller, A. (2019). <i>Asymptotics of American options</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2019.47882</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2019.47882
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/8503
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dc.description
Abweichender Titel nach Übersetzung der Verfasserin/des Verfassers
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dc.description.abstract
In difference to European options American options are significantly harder to price because the possibility of early exercise leads to a free boundary problem. In our studies we first look at literature regarding this boundary problem and try to find the critical boundary close to expiry. This leads to terms for the behaviour of the critical boundary close to expiry. We try to summarize the findings and extract the most plausible solution. Returning to the problem of finding the option value we address Employee stock options. In comparison to traditional American options we have to account for non-hedgeability, the vesting period and dilution. Traditionally ESOs have been valued with the intrinsic value method, but we try to value them with an enhanced FASB 123 model. With models proposed by Hull and others we try to find an approximate solution for the option value and the expected life. Via experimentation and plotting our findings we study the inner workings of those methods. By comparing the binomial and the trinomial models we try to find an accurate and fast method - with the goal of establishing a practical one - for option valuation.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
Amerikanische Optionen
de
dc.subject
freies Randwertproblem
de
dc.subject
optimale Ausübungsgrenze
de
dc.subject
Hull-White-Modell
de
dc.subject
Belegschaftsaktie
de
dc.subject
American options
en
dc.subject
Free boundary problem
en
dc.subject
Optimal exercise boundary
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dc.subject
Hull-White model
en
dc.subject
Employee stock option
en
dc.title
Asymptotics of American options
en
dc.title.alternative
Asymptotik amerikanischer Optionen
de
dc.type
Thesis
en
dc.type
Hochschulschrift
de
dc.rights.license
In Copyright
en
dc.rights.license
Urheberrechtsschutz
de
dc.identifier.doi
10.34726/hss.2019.47882
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dc.contributor.affiliation
TU Wien, Österreich
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dc.rights.holder
Andreas Höller
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dc.publisher.place
Wien
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tuw.version
vor
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tuw.thesisinformation
Technische Universität Wien
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tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik